Developing a stress testing framework based on market risk models
Year of publication: |
2008
|
---|---|
Authors: | Alexander, Carol ; Sheedy, Elizabeth A. |
Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 32.2008, 10, p. 2220-2236
|
Subject: | Risikomaß | Risk measure | Marktrisiko | Market risk | Währungsrisiko | Exchange rate risk | ARCH-Modell | ARCH model | Theorie | Theory |
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