The role of model risk in extreme value theory for capital adequacy
Ralf Kellner, Daniel Rösch and Harald Scheule
| Year of publication: |
August 2016
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|---|---|
| Authors: | Kellner, Ralf ; Rösch, Daniel ; Scheule, Harald |
| Published in: |
Journal of risk. - London : Infopro Digital Risk, ISSN 1465-1211, ZDB-ID 1476260-2. - Vol. 18.2016, 6, p. 39-70
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| Subject: | extreme value theroy | model risk | capital requirements | value-at-risk | expected shortfall | Risikomaß | Risk measure | Basler Akkord | Basel Accord | Risikomanagement | Risk management | Bankrisiko | Bank risk | Ausreißer | Outliers | Theorie | Theory | Risiko | Risk | Kapitalbedarf | Capital requirements |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JOR.2016.337 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011620651