Capital requirements with defaultable securities - Research Collection

Metadata only

Author

Koch-Medina, Pablo

Date

2014-03

Type

Journal Article

Citations

Cited 12 times in Web of Science

Cited 14 times in Scopus

ETH Bibliography

yes

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Publication status

published

External links

https://doi.org/10.1016/j.insmatheco.2013.11.009

Journal / series

Insurance: Mathematics and Economics

Volume

55(3)

Pages / Article No.

58 - 67

Publisher

Elsevier

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.

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Citations

Cited 12 times in Web of Science

Cited 14 times in Scopus

ETH Bibliography

yes

Altmetrics