A CONDITIONAL EQUITY RISK MODEL FOR REGULATORY ASSESSMENT (Q4629479)
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scientific article; zbMATH DE number 7043119
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A CONDITIONAL EQUITY RISK MODEL FOR REGULATORY ASSESSMENT |
scientific article; zbMATH DE number 7043119 |
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A CONDITIONAL EQUITY RISK MODEL FOR REGULATORY ASSESSMENT (English)
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27 March 2019
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risk budget allocation
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solvency capital requirement
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value-at-risk
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pro-cyclicality
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stochastic functional differential equation
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non-stationary process
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market risk allocation
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