Capital requirements with defaultable securities
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Author / Producer
Date
2014-03
Publication Type
Journal Article
ETH Bibliography
yes
Citations
Altmetric
METADATA ONLY
Data
Rights / License
Permanent link
Publication status
published
Editor
Book title
Journal / series
Volume
55 (3)
Pages / Article No.
58 - 67
Publisher
Elsevier
Event
Edition / version
Methods
Software
Geographic location
Date collected
Date created
Subject
Acceptance sets; Eligible assets; Risk measures; Capital adequacy; Defaultable securities; Value-at-Risk; Tail Value-at-Risk
Organisational unit
03658 - Schweizer, Martin / Schweizer, Martin
Notes
Received 15 July 2012, Revised 16 April 2013, Accepted 22 November 2013, Available online 21 December 2013.