Traughber, Patrick; Cremers, Heinz - 2007
for example interest rate risk with a non parametric Value-at-Risk-approach. Secondly we define risk capacity limits and … then use a passive strategy to allocate the available risk capital. -- Risk management ; risk capacity ; value-at-risk … with a non parametric Value-at-Risk-
approach. Secondly we define risk capacity limits and then use a passive strategy to …