Explpring the use of the Kelly criterion for Basel capital requirement : an optimal and countercyclical appoach
Year of publication: |
2015
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Authors: | Wong, Max C. Y. |
Published in: |
Journal of risk management in financial institutions. - London : Henry Stewart Publ., ISSN 1752-8887, ZDB-ID 2416788-5. - Vol. 8.2015, 1, p. 45-61
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Subject: | Kelly criterion | regulatory capital | optimal leverage | countercyclical capital | balance sheet simulation | systemic risk | procyclical risk | value-at-risk | monetary policy transmission mechanism | Theorie | Theory | Basler Akkord | Basel Accord | Geldpolitik | Monetary policy | Risikomaß | Risk measure | Geldpolitische Transmission | Monetary transmission | Konjunktur | Business cycle | Portfolio-Management | Portfolio selection | Kreditrisiko | Credit risk | Bankrisiko | Bank risk | Kapitalstruktur | Capital structure |
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