The var at risk
I show that the structure of the firm is not neutral in respect to regulatory capital budgeted under rules which are based on the Value-at-Risk.
|Date of creation:||06 Jul 2009|
|Note:||View the original document on HAL open archive server: https://hal.archives-ouvertes.fr/hal-00401793|
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- Alfred Galichon & Ivar Ekeland & Marc Henry, 2009.
"Comonotonic measures of multivariates risks,"
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- Ivar Ekeland & Alfred Galichon & Marc Henry, 2012. "Comonotonic measures of multivariate risks," Sciences Po publications info:hdl:2441/5rkqqmvrn4t, Sciences Po.
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- Rustam Ibragimov, 2005. "Portfolio Diversification and Value at Risk Under Thick-Tailedness," Harvard Institute of Economic Research Working Papers 2086, Harvard - Institute of Economic Research.
- Christian Gourieroux & Wei Liu, 2006. "Efficient Portfolio Analysis Using Distortion Risk Measures," Working Papers 2006-17, Centre de Recherche en Economie et Statistique.
- Burgert, Christian & Ruschendorf, Ludger, 2006. "Consistent risk measures for portfolio vectors," Insurance: Mathematics and Economics, Elsevier, vol. 38(2), pages 289-297, April. Full references (including those not matched with items on IDEAS)
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