Basel's value-at-risk capital requirement regulation: An efficiency analysis
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- Suleyman Basak & Alex Shapiro, "undated". "Value-at-Risk Based Risk Management: Optimal Policies and Asset Prices," Rodney L. White Center for Financial Research Working Papers 06-99, Wharton School Rodney L. White Center for Financial Research.
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- Philip Maymin & Zakhar Maymin, 2012. "Any regulation of risk increases risk," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 26(3), pages 299-313, September.
- Guillén, Montserrat & Sarabia, José María & Prieto, Faustino, 2013. "Simple risk measure calculations for sums of positive random variables," Insurance: Mathematics and Economics, Elsevier, vol. 53(1), pages 273-280.
- Peter J. Barry & Bruce J. Sherrick & Jianmei Zhao, 2009. "Integration of VaR and expected utility under departures from normality," Agricultural Economics, International Association of Agricultural Economists, vol. 40(6), pages 691-699, November.
- Karima Bouaiss & Catherine Refait-Alexandre & Hervé Alexandre, 2017. "Will Bank Transparency really Help Financial Markets and Regulators?," Working Papers hal-01637917, HAL.
- Philip Z. Maymin & Zakhar G. Maymin, 2010. "Any Regulation of Risk Increases Risk," Papers 1004.1670, arXiv.org, revised Apr 2012.
- repec:dau:papers:123456789/4060 is not listed on IDEAS
- Kerkhof, Jeroen & Melenberg, Bertrand & Schumacher, Hans, 2010. "Model risk and capital reserves," Journal of Banking & Finance, Elsevier, vol. 34(1), pages 267-279, January.
- repec:eee:insuma:v:79:y:2018:i:c:p:194-209 is not listed on IDEAS
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