Capital requirements with defaultable securities
Year of publication: |
2014
|
---|---|
Authors: | Farkas, Walter ; Koch Medina, Pablo ; Munari, Cosimo |
Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 55.2014, p. 58-67
|
Subject: | Acceptance sets | Eligible assets | Risk measures | Capital adequacy | Defaultable securities | Value-at-Risk | Tail Value-at-Risk | Risikomaß | Risk measure | Kreditrisiko | Credit risk | Basler Akkord | Basel Accord | Theorie | Theory | Portfolio-Management | Portfolio selection | Insolvenz | Insolvency | Bankrisiko | Bank risk |
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