Backtesting for risk-based regulatory capital

Journal of Banking and Finance

Volumn 28, Issue 8, 2004, Pages 1845-1865

  Kerkhof, Jeroen ^a,b   Melenberg, Bertrand ^a  

^a TILBURG UNIVERSITY   (Netherlands)

^b Product Development Group   (Netherlands)

Author keywords

Basel II; Capital requirements; Model selection; Multiplication factors; Risk management

Indexed keywords

EID: 3042602550     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2003.06.007     Document Type: Article

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