An evaluation of the effectiveness of Value-at-Risk (VaR) models for Australian banks under Basel III
Year of publication: |
November 2016
|
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Authors: | Uylangco, Katherine ; Li, Siqiwen |
Published in: |
Australian journal of management. - Los Angeles, Calif. [u.a.] : Sage, ISSN 0312-8962, ZDB-ID 609380-2. - Vol. 41.2016, 4, p. 699-718
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Subject: | Value-at-Risk (VaR) | parametric VaR | Monte Carlo simulation | Basel Accords | Basler Akkord | Basel Accord | Risikomaß | Risk measure | VAR-Modell | VAR model | Monte-Carlo-Simulation | Australien | Australia | Kreditrisiko | Credit risk | ARCH-Modell | ARCH model |
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