Regulation Risk

DOI10.1080/10920277.2019.1679189zbMath1454.91341OpenAlexW4238483072MaRDI QIDQ5140098

Christian Walter, Jacques Lévy-Véhel, Olivier Le Courtois

Publication date: 13 December 2020

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.2019.1679189

zbMATH Keywords

market risk regulationsrisk swap effect

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Financial networks (including contagion, systemic risk, regulation) (91G45)

Cites Work

• The Pricing of Options and Corporate Liabilities
• Testing whether jumps have finite or infinite activity
• Martingales and arbitrage in multiperiod securities markets
• Martingales and stochastic integrals in the theory of continuous trading
• Stable modeling of value at risk
• Value-at-risk and asset allocation with stable return distributions
• Extreme Financial Risks and Asset Allocation
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