Aggregation-robustness and model uncertainty of regulatory risk measures (Q889621)
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scientific article; zbMATH DE number 6505828
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Aggregation-robustness and model uncertainty of regulatory risk measures |
scientific article; zbMATH DE number 6505828 |
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Aggregation-robustness and model uncertainty of regulatory risk measures (English)
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9 November 2015
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value-at-risk
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expected shortfall
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dependence uncertainty
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risk aggregation
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aggregation-robustness
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inhomogeneous portfolio
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Basel III
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