Impact of value-at-risk models on market stability (Q1655705)

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Impact of value-at-risk models on market stability
scientific article

    Statements

    title
    Impact of value-at-risk models on market stability (English)
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    author
    Bàrbara Llacay
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    Gilbert Peffer
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    publication date
    9 August 2018
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    zbMATH Keywords
    value-at-risk
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    agent-based simulation
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    financial instability
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    volatility
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    risk limit
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    volatility window
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    describes a project that uses
    QRM
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    FinTS
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    Identifiers

    zbMATH DE Number
    6915651
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    OpenAlex ID
    W2733961078
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