DOES THE APPLICATION OF INNOVATIVE INTERNAL MODELS DIMINISH REGULATORY CAPITAL?

DOI10.1142/S0219024906003548zbMath1137.91496MaRDI QIDQ5291323

Athanasios Sfetsos, Lampros Kalyvas

Publication date: 10 May 2006

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

extreme value theoryvalue-at-riskhistorical simulationBasel committee

Mathematics Subject Classification ID

Related Items (1)

A PIECEWISE-DEFINED SEVERITY DISTRIBUTION-BASED LOSS DISTRIBUTION APPROACH TO ESTIMATE OPERATIONAL RISK: EVIDENCE FROM CHINESE NATIONAL COMMERCIAL BANKS

Uses Software

• Dowd

Cites Work

• The Pricing of Options and Corporate Liabilities
• Forecast Evaluation in the Presence of Unobserved Volatility
• Safety First and the Holding of Assets

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