RISK HORIZON AND REBALANCING HORIZON IN PORTFOLIO RISK MEASUREMENT-Reference-Cited by-同舟云学术

RISK HORIZON AND REBALANCING HORIZON IN PORTFOLIO RISK MEASUREMENT

Published:2010-12-05 Issue:2 Volume:22 Page:215-249
ISSN:0960-1627
Container-title:Mathematical Finance
language:en
Short-container-title:

Author:

Glasserman Paul

Publisher

Wiley

Subject

Applied Mathematics,Economics and Econometrics,Social Sciences (miscellaneous),Finance,Accounting

Link

http://onlinelibrary.wiley.com/wol1/doi/10.1111/j.1467-9965.2010.00465.x/fullpdf

Reference34 articles.

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2. Bangia , A. F. Diebold T. Schuermann J. Stroughair 1998 Modeling Liquidity Risk, with Implications for Traditional Market Risk Measurement and Management

3. Basel Committee on Banking Supervision 2007 Guidelines for Computing Capital for Incremental Default Risk in the Trading Book (BCBS 134) http://www.bis.org

4. Basel Committee on Banking Supervision 2009 Guidelines for Computing Capital for Incremental Risk in the Trading Book (BCBS 149) http://www.bis.org

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