Aggregation-robustness and model uncertainty of regulatory risk measures (Q889621): Difference between revisions

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Latest revision as of 00:32, 11 July 2024

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Aggregation-robustness and model uncertainty of regulatory risk measures
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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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