On the Basel Liquidity Formula for Elliptical Distributions

McNeil, Alexander John orcid.org/0000-0002-6137-2890 and Balter, Janine Christine (2018) On the Basel Liquidity Formula for Elliptical Distributions. Risks. pp. 1-14. ISSN 2227-9091

Abstract

Metadata

Authors/Creators:
Copyright, Publisher and Additional Information: © 2018, The Author(s).
Keywords: Basel Accords; liquidity risk; risk measures; expected shortfall; elliptical distributions; generalized hyperbolic distributions,Statistics and Probability,Economics and Econometrics,Finance
Dates:
  • Accepted: 3 September 2018
  • Published: 7 September 2018
Institution: The University of York
Academic Units: The University of York > Faculty of Social Sciences (York) > The York Management School
Depositing User: Pure (York)
Date Deposited: 06 Sep 2018 10:50
Last Modified: 25 Jul 2021 23:08
Published Version: https://doi.org/10.3390/risks6030092
Status: Published
Refereed: Yes
Identification Number: https://doi.org/10.3390/risks6030092

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