Value-at-Risk models and Basel capital charges : evidence from emerging and frontier stock markets
Alternative title: | The financial crisis of 2008, credit markets and effects on developed and emerging |
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Year of publication: |
2012
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Authors: | Rossignolo, Adrian F. ; Fethı, Meryem Duygun ; Shaban, Mohamed |
Published in: |
Journal of financial stability. - Amsterdam [u.a.] : Elsevier, ISSN 1572-3089, ZDB-ID 2222049-5. - Vol. 8.2012, 4, p. 303-319
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Subject: | Value-at-Risk | Extreme Value Theory | Emerging and Frontier markets | Capital Requirements | Stressed VaR | Risikomaß | Risk measure | Basler Akkord | Basel Accord | Schwellenländer | Emerging economies | Ausreißer | Outliers | Aktienmarkt | Stock market | Risikomanagement | Risk management |
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