Validation of Economic Capital Models: State of the Practice, Supervisory Expectations and Results from a Bank Study-Reference-Cited by-同舟云学术

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Validation of Economic Capital Models: State of the Practice, Supervisory Expectations and Results from a Bank Study

Published:2010 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Jacobs Michael

Publisher

Elsevier BV

Reference35 articles.

1. Thinking coherently;P Artzner;Mathematical Finance,1997

2. Advancing integrated risk management;Japan Bank Of;Economic capital workshop summary record,2005

3. International convergence of capital measurement and capital standards;Basel Committee on Banking Supervision (BCBS),1988

4. The t copula and related copulas;S Demarta;International Statistical Review,2005

Cited by 1 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Supervisory requirements and expectations for portfolio level counterparty credit risk measurement and management;Journal of Financial Regulation and Compliance;2014-07-08

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