An integrated macro-financial risk-based approach to the stressed capital requirement
Year of publication: |
September 2017
|
---|---|
Authors: | Liu, Xiaochun |
Published in: |
Review of financial economics : RFE. - Medford, MA : Wiley, ISSN 1058-3300, ZDB-ID 1116477-3. - Vol. 34.2017, p. 86-98
|
Subject: | Basel II & III Accords | Regime-switching models | Out-of-sample forecast | Conditional quantile forecast encompassing test | Prudential policies | Prognoseverfahren | Forecasting model | Basler Akkord | Basel Accord | Risikomaß | Risk measure |
-
Expected shortfall or median shortfall
Kou, Steven, (2014)
-
Single-index and portfolio models for forecasting value-at-risk thresholds
McAleer, Michael, (2008)
-
A decision rule to minimize daily capital charges in forecasting value-at-risk
McAleer, Michael, (2008)
- More ...
-
Anatolyev, Stanislav, (2015)
-
Dimitriadis, Timo, (2020)
-
Jacobsen, Brian, (2008)
- More ...