Sökning: "Helena Zitzmann"

Hittade 1 uppsats innehållade orden Helena Zitzmann.

  1. 1. Managing Market Risk in Europe: The Performance of Value-at-Risk Models in Different Economic Conditions and the Impact of Basel II.5 on Financial Stability

    D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Författare :Anastasia Skosyrskaya; Helena Zitzmann; [2015]
    Nyckelord :Value-at-Risk VaR ; Backtesting; Basel II.5; Market Risk Charges; Financial Crisis;

    Sammanfattning : Major regulatory standards, like the Basel II.5 accord, refer to a bank's internal Value-at-Risk model for determining its respective amount of market risk and for imposing adequate capital charges on the bank. LÄS MER