Value-at-Risk models and Basel capital charges: Evidence from Emerging and Frontier stock markets

Rossignolo, A.F., Fethi, M.D. and Shaban, M. (2011) Value-at-Risk models and Basel capital charges: Evidence from Emerging and Frontier stock markets. Journal of Financial Stability, 8 (4). 303 -319. ISSN 1572-3089

Abstract

Metadata

Authors/Creators:
  • Rossignolo, A.F.
  • Fethi, M.D.
  • Shaban, M.
Copyright, Publisher and Additional Information: © 2011 Elsevier B.V. All rights reserved
Keywords: Value-at-Risk; Extreme Value Theory; Emerging and Frontier markets; Capital Requirements; Stressed VaR
Dates:
  • Published: 7 December 2011
  • Accepted: 28 November 2011
Institution: The University of Sheffield
Academic Units: The University of Sheffield > Faculty of Social Sciences (Sheffield) > Sheffield University Management School
Depositing User: Symplectic Sheffield
Date Deposited: 22 Jan 2016 14:25
Last Modified: 10 Mar 2016 18:52
Published Version: http://dx.doi.org/10.1016/j.jfs.2011.11.003
Status: Published
Publisher: Elsevier
Refereed: Yes
Identification Number: https://doi.org/10.1016/j.jfs.2011.11.003

Download not available

A full text copy of this item is not currently available from White Rose Research Online

Share / Export

Statistics