Tail nonlinearly transformed risk measure as a capital constraint : a better choice for bank regulation than conditional value-at-risk?
Year of publication: |
2022
|
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Authors: | Bergk, Kerstin ; Brandtner, Mario ; Kürsten, Wolfgang |
Published in: |
Modern finance and risk management : Festschrift in honour of Hermann Locarek-Junge. - Hackensack, NJ : World Scientific, ISBN 978-1-80061-190-0. - 2022, p. 197-218
|
Subject: | Theorie | Theory | Risikomaß | Risk measure | Basler Akkord | Basel Accord | Bankenregulierung | Bank regulation | Messung | Measurement | Schätzung | Estimation | Bankrisiko | Bank risk | Portfolio-Management | Portfolio selection |
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