Market Risk and Volatility Weighted Historical Simulation after Basel III
Year of publication: |
2018
|
---|---|
Authors: | Laurent, Jean-Paul |
Other Persons: | Omidi Firouzi, Hassan (contributor) |
Publisher: |
[2018]: [S.l.] : SSRN |
Subject: | Basler Akkord | Basel Accord | Simulation | Volatilität | Volatility | Risikomaß | Risk measure | Risiko | Risk | Bankrisiko | Bank risk | ARCH-Modell | ARCH model |
Extent: | 1 Online-Ressource (28 p) |
---|---|
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments December 28, 2017 erstellt |
Other identifiers: | 10.2139/ssrn.3094463 [DOI] |
Classification: | G18 - Government Policy and Regulation ; C51 - Model Construction and Estimation |
Source: | ECONIS - Online Catalogue of the ZBW |
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