Value-at-risk capital requirement regulation, risk taking and asset allocation: a mean–variance analysis

European Journal of Finance

Volumn 21, Issue 3, 2015, Pages 215-241

  Kaplanski, Guy ^a   Levy, Haim ^b  

^a BAR ILAN UNIVERSITY   (Israel)

^b HEBREW UNIVERSITY OF JERUSALEM   (Israel)

Author keywords

Basel regulations; capital requirement regulation; regulated capital market line; risk management; value at risk

Indexed keywords

EID: 84919860313     PISSN: 1351847X     EISSN: 14664364     Source Type: Journal    
DOI: 10.1080/1351847X.2013.802249     Document Type: Article

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