Quantile Uncertainty and Value-at-Risk Model Risk

Risk Analysis

Volumn 32, Issue 8, 2012, Pages 1293-1308

  Alexander, Carol ^a   Sarabia, José María ^b  

^a UNIVERSITY OF READING   (United Kingdom)

^b UNIVERSITY OF CANTABRIA   (Spain)

Author keywords

Basel II; Maximum entropy; Model risk; Quantile; Risk capital; Value at risk

Indexed keywords

BASEL II; MAXIMUM ENTROPY; QUANTILE; RISK CAPITAL; VALUE AT RISK;

CLIMATE CHANGE; COMPUTER SIMULATION; ESTIMATION; PROFITABILITY; RISK ASSESSMENT; RISK MANAGEMENT; STATISTICAL PROCESS CONTROL; UNCERTAINTY ANALYSIS; VALUE ENGINEERING;

RISK PERCEPTION;

BANKING; CAPITAL MARKET; CLIMATE CHANGE; ENTROPY; ESTIMATION METHOD; FINANCIAL CRISIS; QUANTITATIVE ANALYSIS; RISK ASSESSMENT; TIME SERIES; UNCERTAINTY ANALYSIS;

EID: 84865068828     PISSN: 02724332     EISSN: 15396924     Source Type: Journal    
DOI: 10.1111/j.1539-6924.2012.01824.x     Document Type: Article

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