Sensitivities-based method and expected shortfall for market risk under FRTB: its impact on options risk capital

Autor:	Grajales, Carlos Alexander, Medina Hurtado, Santiago
Zdroj:	Journal of Economics, Finance and Administrative Science, 2023, Vol. 28, Issue 55, pp. 96-115.
Databáze:	Emerald Insight
Externí odkaz:	http://www.emeraldinsight.com/doi/10.1108/JEFAS-12-2021-0268 Zobrazit plný text záznamu