Calculating incremental risk charges: The effect of the liquidity horizon
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More about this item
Keywords
credit risk; incremental risk charge; liquidity horizon; Basel III;All these keywords.
JEL classification:
- C00 - Mathematical and Quantitative Methods - - General - - - General
NEP fields
This paper has been announced in the following NEP Reports:- NEP-REG-2011-06-25 (Regulation)
- NEP-RMG-2011-06-25 (Risk Management)
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