Effective Estimation of Banking Liquidity Risk

DOI10.1007/3-540-28073-1_70zbMATH Open1308.91114OpenAlexW192107812MaRDI QIDQ3618344FDOQ3618344

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)

• Title not available (Why is that?)
• Minimizing banking risk in a Lévy process setting
• Title not available (Why is that?)

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