المؤلفون: Castro Iragorri, Carlos Alberto, Gómez De Los Ríos, Fabio Andrés, Quiceno, Nancy

المصدر: Adrian, T. and Shin, H.S. 2014. Procyclical leverage and value-at-risk. The Review of Financial Studies, 27(2), pp.373-403 ; BCBS, 2011. Messages from the academic literature on risk measurement for the trading book. Bank for International Settlements. Working Paper, No. 19. Available at: https://www.bis. org/publ/bcbs_wp19.pdf. ; BCBS, 2016. Minimum capital requirements for market risk. Standards, No. d352. Available at: https://www.bis.org/bcbs/publ/d352.htm. ; Bellini, F. and Di Bernardino, E., 2017. Risk management with expectiles. The European Journal of Finance, 23(6), pp.487-506. ; Blanchet, J., Chen, L. and Zhou, X.Y., 2022. Distributionally robust mean-variance portfolio selection with Wasserstein distances. Management Science, 68(9), pp.6382-6410. ....

مصطلحات موضوعية: Prociclicidad, Riesgo de momento superior, Pruebas de estrés, Expected shortfall, G32, G17, C58, Procyclicality, Higher moment risk, Stress testing

وصف الملف: 14 pp; application/pdf

Relation: https://ideas.repec.org/p/col/000092/021048.html; https://repository.urosario.edu.co/handle/10336/42303

الاتاحة: https://repository.urosario.edu.co/handle/10336/42303

المؤلفون: Castro-Iragorri, Carlos, Gómez, Fabio, Quiceno, Nancy

الاتاحة: http://dx.doi.org/10.2139/ssrn.4757293