Effective Estimation of Banking Liquidity Risk

DOI10.1007/3-540-28073-1_70MaRDI QIDQ3618344zbMATH OpenOpenAlexFDO

Authors

Publication date 31 March 2009

Published in Progress in Industrial Mathematics at ECMI 2004 (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/3-540-28073-1_70

zbMATH Keywords

estimationextreme value theoryliquidity risk

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Macroeconomic theory (monetary models, models of taxation) (91B64) Credit risk (91G40)

Cited in

(3)

• Minimizing banking risk in a Lévy process setting
• scientific article; zbMATH DE number 5732713 (Why is no real title available?)
• scientific article; zbMATH DE number 7249726 (Why is no real title available?)

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