Capital requirements with defaultable securities
Year of publication: |
2014
|
---|---|
Authors: | Farkas, Walter ; Koch-Medina, Pablo ; Munari, Cosimo |
Published in: |
Insurance: Mathematics and Economics. - Elsevier, ISSN 0167-6687. - Vol. 55.2014, C, p. 58-67
|
Publisher: |
Elsevier |
Subject: | Acceptance sets | Eligible assets | Risk measures | Capital adequacy | Defaultable securities | Value-at-Risk | Tail Value-at-Risk |
-
Capital requirements with defaultable securities
Farkas, Walter, (2013)
-
Capital requirements with defaultable securities
Farkas, Walter, (2014)
-
Beyond cash-additive risk measures : when changing the numéraire fails
Farkas, Walter, (2013)
- More ...
-
Beyond cash-additive risk measures : when changing the numéraire fails
Farkas, Walter, (2014)
-
Beyond cash-additive risk measures : when changing the numéraire fails
Farkas, Walter, (2013)
-
Capital requirements with defaultable securities
Farkas, Walter, (2013)
- More ...