Aggregation-robustness and model uncertainty of regulatory risk measures (Q889621): Difference between revisions
From MaRDI portal
Set profile property. |
Set OpenAlex properties. |
||
| Property / full work available at URL | |||
| Property / full work available at URL: https://doi.org/10.1007/s00780-015-0273-z / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W3121963578 / rank | |||
Normal rank | |||
Revision as of 00:42, 20 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Aggregation-robustness and model uncertainty of regulatory risk measures |
scientific article |
Statements
Aggregation-robustness and model uncertainty of regulatory risk measures (English)
0 references
9 November 2015
0 references
value-at-risk
0 references
expected shortfall
0 references
dependence uncertainty
0 references
risk aggregation
0 references
aggregation-robustness
0 references
inhomogeneous portfolio
0 references
Basel III
0 references
