Capital requirements with defaultable securities
Metadata only
Date
2014-03Type
- Journal Article
Publication status
publishedExternal links
Journal / series
Insurance: Mathematics and EconomicsVolume
Pages / Article No.
Publisher
ElsevierSubject
Acceptance sets; Eligible assets; Risk measures; Capital adequacy; Defaultable securities; Value-at-Risk; Tail Value-at-RiskOrganisational unit
03658 - Schweizer, Martin / Schweizer, Martin
Notes
Received 15 July 2012, Revised 16 April 2013, Accepted 22 November 2013, Available online 21 December 2013.More
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