A CONDITIONAL EQUITY RISK MODEL FOR REGULATORY ASSESSMENT (Q4629479)
From MaRDI portal
scientific article; zbMATH DE number 7043119
Language | Label | Description | Also known as |
---|---|---|---|
English | A CONDITIONAL EQUITY RISK MODEL FOR REGULATORY ASSESSMENT |
scientific article; zbMATH DE number 7043119 |
Statements
A CONDITIONAL EQUITY RISK MODEL FOR REGULATORY ASSESSMENT (English)
0 references
27 March 2019
0 references
risk budget allocation
0 references
solvency capital requirement
0 references
value-at-risk
0 references
pro-cyclicality
0 references
stochastic functional differential equation
0 references
non-stationary process
0 references
market risk allocation
0 references