On the Basel Liquidity Formula for Elliptical Distributions
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- repec:wsi:ijtafx:v:08:y:2005:i:05:n:s0219024905003104 is not listed on IDEAS
- Dobrislav Dobrev∗ & Travis D. Nesmith & Dong Hwan Oh, 2017.
"Accurate Evaluation of Expected Shortfall for Linear Portfolios with Elliptically Distributed Risk Factors,"
Journal of Risk and Financial Management,
MDPI, Open Access Journal, vol. 10(1), pages 1-14, February.
- Dobrev, Dobrislav & Nesmith, Travis D. & Oh, Dong Hwan, 2016. "Accurate Evaluation of Expected Shortfall for Linear Portfolios with Elliptically Distributed Risk Factors," Finance and Economics Discussion Series 2016-065, Board of Governors of the Federal Reserve System (US), revised 03 Feb 2017.
More about this item
KeywordsBasel Accords; liquidity risk; risk measures; expected shortfall; elliptical distributions; generalized hyperbolic distributions;
- C - Mathematical and Quantitative Methods
- G0 - Financial Economics - - General
- G1 - Financial Economics - - General Financial Markets
- G2 - Financial Economics - - Financial Institutions and Services
- G3 - Financial Economics - - Corporate Finance and Governance
- M2 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Business Economics
- M4 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Accounting
- K2 - Law and Economics - - Regulation and Business Law
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