Quantifying market risk with value-at-risk or expected shortfall? -- Consequences for capital requirements and model risk (Q1656799)
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scientific article; zbMATH DE number 6916465
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Quantifying market risk with value-at-risk or expected shortfall? -- Consequences for capital requirements and model risk |
scientific article; zbMATH DE number 6916465 |
Statements
Quantifying market risk with value-at-risk or expected shortfall? -- Consequences for capital requirements and model risk (English)
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10 August 2018
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model risk
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capital requirements
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value-at-risk
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expected shortfall
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