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Keywords: Optimization techniques
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Journal Articles
Capital requirements for market risks: Value‐at‐risk models and stressed‐VaR after the financial crisis
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Journal of Financial Regulation and Compliance (2013) 21 (3): 284–304.
Published: 19 July 2013
... risk Basel Committee Optimization techniques Capital Regulators require to financial institutions to maintain minimum capital requirements (Berger et al., 1995 ; Santos, 2002 ; Lastra, 2004). In 1996, the Basel Committee has modified the first draft of the capital accord...
