Value-at-Risk models and Basel capital charges. Evidence from Emerging and Frontier stock markets

Journal of Financial Stability

Volumn 8, Issue 4, 2012, Pages 303-319

  Rossignolo, Adrian F ^a   Fethi, Meryem Duygun ^b   Shaban, Mohamed ^b  

^a UNIVERSITY OF LEICESTER   (United Kingdom)

^b UNIVERSITY OF LEICESTER   (United Kingdom)

Author keywords

Capital requirements; Emerging and frontier markets; Extreme value theory; Stressed VaR; Value at risk

Indexed keywords

EID: 84865356711     PISSN: 15723089     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jfs.2011.11.003     Document Type: Article

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