RISK OF INDONESIAN BANKS: AN APPLICATION OF HISTORICAL EXPECTED SHORTFALL METHOD
Asian and European crises were witnesses of banks’ vulnerable due to market risks. The Basel Committee requires an internal risk assessment applying Value at Risk (VaR). However, a replacement of VaR with Expected Shortfall (ES) has been suggested recently due to an excessive losses produced by bank...
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| Автори: | , , |
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| Формат: | Artigo |
| Мова: | Inglês |
| Опубліковано: |
Bank Indonesia
2015-01-01
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| Серія: | Buletin Ekonomi Moneter dan Perbankan |
| Предмети: | |
| Онлайн доступ: | https://www.bmeb-bi.org/index.php/BEMP/article/view/3 |
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