Options positions: risk management and capital requirements
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References listed on IDEAS
- Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-1072, June.
- Ceglowski, Janet, 1991. "Intertemporal substitution in import demand," Journal of International Money and Finance, Elsevier, vol. 10(1), pages 118-130, March.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Andrew Powell & Veronica Balzarotti, 1997.
"Capital Requirements for Latin American Banks in Relation to their Market Risks: The Relevance of the Basle 1996 Amendment to Latin America,"
Research Department Publications
4072, Inter-American Development Bank, Research Department.
- Andrew Powell & Verónica Balzarotti, 1997. "Capital Requirements for Latin American Banks in Relation to their Market Risks: The Relevance of the Basle 1996 Amendment to Latin America," IDB Publications (Working Papers) 6065, Inter-American Development Bank.
- Andrew Powell & Veronica Balzarotti, 1997. "Requisitos de capital de los bancos latinoamericanos en relación con sus niveles de riesgo de mercado: importancia de la Enmienda de Basilea de 1996 para América Latina," Research Department Publications 4073, Inter-American Development Bank, Research Department.
- Ming-Yuan Leon Li & Hsiou-wei William Lin, 2004. "Estimating value-at-risk via Markov switching ARCH models - an empirical study on stock index returns," Applied Economics Letters, Taylor & Francis Journals, vol. 11(11), pages 679-691.
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