Comparison of market risk models with respect to suggested changes of Basel accord
Year of publication: |
2014
|
---|---|
Authors: | Stiborová, Eliška ; Sznapková, Barbora ; Tichný, Tomáš |
Published in: |
Acta oeconomica : periodical of the Hungarian Academy of Sciences. - Budapest : Akad., ISSN 0001-6373, ZDB-ID 301591-9. - Vol. 64.2014, S2, p. 257-274
|
Subject: | backtesting | expected shortfall | market risk | value at risk | Risikomaß | Risk measure | Basler Akkord | Basel Accord | Theorie | Theory | Bankrisiko | Bank risk | Risikomanagement | Risk management | Portfolio-Management | Portfolio selection | Risiko | Risk | Messung | Measurement | ARCH-Modell | ARCH model | Marktrisiko | Market risk |
-
Market risk, value-at-risk and exponential weighting
Broll, Udo, (2022)
-
Lost in noise? : some thoughts on the use of machine learning in financial market risk measurement
Quell, Peter, (2023)
-
Terzić, Ivica, (2016)
- More ...
-
Comparison of market risk models with respect to suggested changes of Basel Accord
Stiborová, Eliška, (2014)
- More ...