Mean-univariate GARCH VaR portfolio optimization: Actual portfolio approach
Work
Year: 2016
Type: article
Abstract: In accordance with Basel Capital Accords, the Capital Requirements (CR) for market risk exposure of banks is a nonlinear function of Value-at-Risk (VaR). Importantly, the CR is calculated based on a b... more
Source: Computers & Operations Research
Institutions University of Kragujevac, University of Belgrade, National Library of Serbia, Ifo Institute for Economic Research, University of Sussex
Cites: 51
Cited by: 31
Related to: 10
FWCI: 3.114
Citation percentile (by year/subfield): 97.57
Subfield: Economics and Econometrics
Domain: Social Sciences
Sustainable Development Goal Partnerships for the goals
Open Access status: hybrid
APC paid (est): $3,210
Funders Ministry of Education, Science and Technology, Ministry of Education, Science and Technology
Grant IDS OH 179005, III-44010