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A justification of the Basel liquidity formula for risk capital in the trading book is given under the assumption that market risk-factor changes form a Gaussian white noise process over 10-day time steps and changes to P&L (profit-and-loss) are line
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=core_ac_uk__::892340d4e2f53c55f8971efb4b55fe21
https://eprints.whiterose.ac.uk/135384/1/Balter_McNeil_18_revision.pdf
https://eprints.whiterose.ac.uk/135384/1/Balter_McNeil_18_revision.pdf
