Which User-Friendly Model is the Best for BASEL-III? An Emerging Market Study

Journal article 511 views 80 downloads

Sharif Mozumder, Mohammad Abedin

, Raad Lalon, Amjad Hossain

Computational Economics, Volume: 64, Issue: 5, Pages: 3049 - 3086

Swansea University Author: Mohammad Abedin

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Author accepted manuscript document released under the terms of a Creative Commons CC-BY licence using the Swansea University Research Publications Policy (rights retention).
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DOI (Published version): 10.1007/s10614-023-10545-6

Published in:	Computational Economics
ISSN:	0927-7099 1572-9974
Published:	Springer Science and Business Media LLC 2024
Online Access:	Check full text
URI:	https://cronfa.swan.ac.uk/Record/cronfa65719

Keywords:	Market risk; BASEL-III; Value at risk; Expected shortfall; Back-test
College:	Faculty of Humanities and Social Sciences
Issue:	5
Start Page:	3049
End Page:	3086