VaR-x: Fat tails in financial risk management
- 1 September 1998
- journal article
- Published by Infopro Digital Services Limited in Journal of Risk
- Vol. 1 (1) , 47-61
- https://doi.org/10.21314/jor.1998.003
Abstract
To ensure a competent regulatory framework with respect to value-at-risk (VaR) for establishing a bank's capital adequacy requirements,..., Original Research, value at riskKeywords
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