Integration des Marktliquiditätsrisikos in das Risikoanalysekonzept des Value at Risk
Download full text from publisher
More about this item
KeywordsMarket Risk; Market Liquidity Risk; Market Microstructure; Liquidity-adjusted Value-at-Risk; Basel III; Liquidity Coverage Ratio; Liquid Assets;
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Econometric and Statistical Methods; Specific Distributions
- D4 - Microeconomics - - Market Structure, Pricing, and Design
- G1 - Financial Economics - - General Financial Markets
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2012-12-06 (All new papers)
- NEP-BAN-2012-12-06 (Banking)
- NEP-MST-2012-12-06 (Market Microstructure)
- NEP-ORE-2012-12-06 (Operations Research)
- NEP-RMG-2012-12-06 (Risk Management)
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:zbw:fsfmwp:198. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (ZBW - German National Library of Economics). General contact details of provider: http://edirc.repec.org/data/hfbfide.html .
We have no references for this item. You can help adding them by using this form .