It pays to violate: how effective are the Basel accord penalties in encouraging risk management?
Author:
Publisher
Wiley
Subject
Economics, Econometrics and Finance (miscellaneous),Finance,Accounting
Link
http://onlinelibrary.wiley.com/wol1/doi/10.1111/j.1467-629X.2011.00422.x/fullpdf
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2. Berkowitz , J. P. F. Christoffersen D. Pelletier 2006 Evaluating value-at-risk models with desk level data McGill University
3. Black , F. 1976 Studies of stock market volatility changes Proceedings of the American Statistical Association 177 181
4. Generalized autoregressive conditional heteroscedasticity;Bollerslev;Journal of Econometrics,1986
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