Market risk management in a post-Basel II regulatory environment (Q1752906)

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Market risk management in a post-Basel II regulatory environment
scientific article

    Statements

    title
    Market risk management in a post-Basel II regulatory environment (English)
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    author
    Mikica Drenovak
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    Vladimir Ranković
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    Miloš Ivanović
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    Ranko Jelic
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    Branko Urosevic
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    publication date
    24 May 2018
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    zbMATH Keywords
    finance
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    market risk
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    Basel 2.5
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    GARCH
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    NSGA-II
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    describes a project that uses
    R
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    Rugarch
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    Identifiers

    Mathematics Subject Classification ID
    91G10
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    91G70
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    90C59
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    62M10
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    62P05
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    zbMATH DE Number
    6872987
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    OpenAlex ID
    W2516512346
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