Measuring concentration risk for regulatory purposes
Year of publication: |
2007
|
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Authors: | Gürtler, Marc ; Hibbeln, Martin ; Vöhringer, Clemens |
Publisher: |
Braunschweig : Technische Universität Braunschweig, Institut für Finanzwirtschaft |
Subject: | Concentration Risk | Pillar 2 | Multi-Factor Models | Economic Capital | Simulation Study | Value at Risk | Expected Shortfall |
Series: | Working Paper Series ; IF26V4 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | German |
Other identifiers: | 684921103 [GVK] hdl:10419/55249 [Handle] RePEc:zbw:tbsifw:IF26V4 [RePEc] |
Classification: | G21 - Banks; Other Depository Institutions; Mortgages ; G28 - Government Policy and Regulation |
Source: |
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