We appreciate helpful input and suggestions from Fakher Ben Atig, Maria Teresa Cardoso, Laurent Carlier, Peter Dobranszky, Andrei Greenberg, Tom Hanney, Vera Minina, Sébastien Rérolle, Anton Simanenka and an anonymous referee. The views expressed in this paper are those of the authors and do not necessarily reflect the views and policies of BNP Paribas. Correspondence: Sascha Wilkens.
IRC and CRM: Modelling Framework for the ‘Basel 2.5’ Risk Measures
Version of Record online: 29 MAY 2013
© 2013 John Wiley & Sons Ltd
European Financial Management
Volume 19, Issue 4, pages 801–829, September 2013
How to Cite
Wilkens, S., Brunac, J.-B. and Chorniy, V. (2013), IRC and CRM: Modelling Framework for the ‘Basel 2.5’ Risk Measures. European Financial Management, 19: 801–829. doi: 10.1111/j.1468-036X.2013.12015.x
- Issue online: 6 SEP 2013
- Version of Record online: 29 MAY 2013
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