Distance to compliance portfolios: An integrated shortfall measure for basel III
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DOI: 10.1016/j.jbankfin.2017.09.002
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More about this item
Keywords
Basel III; Integrated shortfall; Impact studies;All these keywords.
JEL classification:
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
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