The role of model risk in extreme value theory for capital adequacy
Article
Scheule, Harald, Kellner, Ralf and Rösch, Daniel (2016) The role of model risk in extreme value theory for capital adequacy. Journal of Risk 18 (6), pp. 39-70.Alternative links to fulltext
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Details
| Item type | Article | ||||
| Journal or Publication Title | Journal of Risk | ||||
| Publisher | INCISIVE MEDIA | ||||
| Place of Publication | LONDON | ||||
| Volume | 18 | ||||
| Number of Issue or Book Chapter | 6 | ||||
| Page Range | pp. 39-70 | ||||
| Date | 2016 | ||||
| Date of publication | 07 Sep 2016 10:50 | ||||
| Institutions | Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Lehrstuhl für Statistik und Risikomanagement (Prof. Dr. Rösch) | ||||
| Interdisciplinary Subject Network | Not selected | ||||
| Research groups and research centres | Not selected | ||||
| Identification Number |
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| Keywords | VALUE-AT-RISK; EXPECTED SHORTFALL; FORECASTS; ACCURATE; MARKETS; extreme value theory; model risk; capital requirements; value-at-risk; expected shortfall | ||||
| Dewey Decimal Classification | 600 Technology > 650 Management & auxiliary services 300 Social sciences > 330 Economics | ||||
| Status | Published | ||||
| Refereed | Yes, this version has been refereed | ||||
| Created at the University of Regensburg | Yes | ||||
| Item ID | 34543 |
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