Stress tests of capital requirements

Journal of Banking and Finance

Volumn 21, Issue 11-12, 1997, Pages 1515-1546

  Dimson, Elroy ^a   Marsh, Paul ^a  

^a LONDON BUSINESS SCHOOL   (United Kingdom)

Author keywords

Capital requirements; G11; G18; G21; G28; K22; Position risk; Stress tests; Trading book; Value at risk

Indexed keywords

EID: 0031521226     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0378-4266(97)00047-2     Document Type: Article

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