haku: @author Brooks, C. / yhteensä: 8
viite: 5 / 8
| Tekijä: | Brooks, C. Clare, A. D. Persand, G. |
| Otsikko: | A world of caution on calculating market-based minimum capital risk requirements |
| Lehti: | Journal of Banking and Finance
2000 : OCT, VOL. 24:10, p. 1557-1574 |
| Asiasana: | Investment analysis Risk measurement Risk analysis Risk measurement Volatility Econometric models |
| Kieli: | eng |
| Tiivistelmä: | This paper demonstrates that the use of GARCH-type models for the calculation of minimum capital risk requirements may lead to the production of inaccurate and therefore inefficient capital requirements. |
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