Econometric Models Used For Managing The Market Risk In The Romanian Banking System
Year of publication: |
2011
|
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Authors: | Trenca, Ioan ; Mutu, Simona ; Petria, Nicolae |
Published in: |
Analele Stiintifice ale Universitatii "Alexandru Ioan Cuza" din Iasi - Stiinte Economice. - Facultatea de Economie şi Administrarea Afacerilor. - Vol. 2011SE.2011, july, p. 115-123
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Publisher: |
Facultatea de Economie şi Administrarea Afacerilor |
Subject: | value at risk | time varying volatility | interest rate risk | extreme value theory |
Extent: | application/pdf text/html |
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Type of publication: | Article |
Classification: | G01 - Financial Crises ; G21 - Banks; Other Depository Institutions; Mortgages ; G32 - Financing Policy; Capital and Ownership Structure ; C14 - Semiparametric and Nonparametric Methods ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; C22 - Time-Series Models |
Source: |
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