An integrated shortfall measure for Basel III
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More about this item
Keywords
Basel III; linear programming; impact studies; integrated shortfall;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
NEP fields
This paper has been announced in the following NEP Reports:- NEP-BAN-2017-10-08 (Banking)
- NEP-CBA-2017-10-08 (Central Banking)
- NEP-RMG-2017-10-08 (Risk Management)
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