External Risk Measures and Basel Accords

DOI10.1287/moor.1120.0577zbMath1297.91089OpenAlexW3123587043MaRDI QIDQ5169670

Xianhua Peng, Steven Kou, Christopher C. Heyde

Publication date: 11 July 2014

Published in: Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL: http://repository.ust.hk/ir/bitstream/1783.1-7956/1/moor.1120.0577.full.pdf

zbMATH Keywords

robustnessvalue-at-riskrisk measureexpected shortfallcapital requirementsscenario analysisfinancial regulationmedian shortfall

Mathematics Subject Classification ID

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