Capital requirements with defaultable securities
dc.contributor.author
Farkas, Walter
dc.contributor.author
Koch-Medina, Pablo
dc.contributor.author
Munari, Cosimo
dc.date.accessioned
2017-06-11T01:59:21Z
dc.date.available
2017-06-11T01:59:21Z
dc.date.issued
2014-03
dc.identifier.issn
0167-6687
dc.identifier.issn
1873-5959
dc.identifier.other
10.1016/j.insmatheco.2013.11.009
dc.identifier.uri
http://hdl.handle.net/20.500.11850/76812
dc.language.iso
en
dc.publisher
Elsevier
dc.subject
Acceptance sets
dc.subject
Eligible assets
dc.subject
Risk measures
dc.subject
Capital adequacy
dc.subject
Defaultable securities
dc.subject
Value-at-Risk
dc.subject
Tail Value-at-Risk
dc.title
Capital requirements with defaultable securities
dc.type
Journal Article
ethz.journal.title
Insurance: Mathematics and Economics
ethz.journal.volume
55
ethz.journal.issue
3
ethz.pages.start
58
ethz.pages.end
67
ethz.notes
Received 15 July 2012, Revised 16 April 2013, Accepted 22 November 2013, Available online 21 December 2013.
ethz.identifier.wos
ethz.identifier.scopus
ethz.identifier.nebis
000014395
ethz.publication.place
Amsterdam
ethz.publication.status
published
ethz.leitzahl
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02003 - Mathematik Selbständige Professuren::03658 - Schweizer, Martin / Schweizer, Martin
ethz.leitzahl.certified
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02003 - Mathematik Selbständige Professuren::03658 - Schweizer, Martin / Schweizer, Martin
ethz.date.deposited
2017-06-11T02:02:37Z
ethz.source
ECIT
ethz.identifier.importid
imp5936515dc190257522
ethz.ecitpid
pub:121223
ethz.eth
yes
ethz.availability
Metadata only
ethz.rosetta.installDate
2017-07-18T15:43:11Z
ethz.rosetta.lastUpdated
2022-03-28T12:18:32Z
ethz.rosetta.versionExported
true
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Journal Article [133587]