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Persistent link: https://www.econbiz.de/10011536590
Value-at-Risk (VaR) and Conditional-Value-at-Risk (CVaR) are popular risk measure in portfolio optimisation and market regulations. However, so far little research has been done on how these risk measures reduce the Basel III market risk capital requirements. This paper analyses the efficiency...
Persistent link: https://www.econbiz.de/10013001252