Term Structure and Cyclicity of Value-at-Risk : Consequences for the Solvency Capital Requirement
Year of publication: |
[2021]
|
---|---|
Authors: | Bec, Frederique ; Gollier, Christian |
Publisher: |
[S.l.] : SSRN |
Subject: | Zinsstruktur | Yield curve | Basler Akkord | Basel Accord | Konjunktur | Business cycle | Risikomaß | Risk measure | Versicherung | Insurance | Frankreich | France | Betriebliche Liquidität | Corporate liquidity |
Extent: | 1 Online-Ressource (28 p) |
---|---|
Series: | CESifo Working Paper Series ; No. 2596 |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments March 2009 erstellt |
Other identifiers: | 10.2139/ssrn.1368641 [DOI] |
Classification: | G11 - Portfolio Choice |
Source: | ECONIS - Online Catalogue of the ZBW |
-
Term structure and cyclicity of value-at-risk : consequences for the solvency capital requirement
Bec, Frédérique, (2009)
-
Liquidity Risk, Credit Risk, Market Risk and Bank Capital
Varotto, Simone, (2011)
-
Investment Commonality across Insurance Companies : Fire Sale Risk and Corporate Yield Spreads
Nanda, Vikram K., (2018)
- More ...
-
Assets Returns Volatility and Investment Horizon : The French Case
Bec, Frederique, (2009)
-
Assets Returns Volatility and Investment Horizon : The French Case
Gollier, Christian, (2008)
-
Bastien, Alexia, (2007)
- More ...