The use of GARCH models for the calculation of minimum capital risk requirements: international evidence

INIS

• risks 100%
• market 77%
• capital 55%
• volatility 44%
• modeling 33%
• data 22%
• performance 22%
• multivariate analysis 22%
• values 11%
• design 11%
• usa 11%
• losses 11%
• greece 11%
• capture 11%
• asymmetry 11%
• germany 11%
• financing 11%
• internal market 11%

Social Sciences

• Financial Market 33%
• Approach 33%
• USA 33%
• Evidence 22%
• Performance 22%
• Design Methodology 11%
• Mathematical Model 11%
• Managers 11%
• European Market 11%
• Research 11%
• Multivariate Model 11%
• Decision 11%
• Interest 11%
• Germany 11%
• UK 11%
• Paper 11%
• Contribution 11%
• Market 11%
• Process 11%
• Markets 11%
• Greece 11%
• Purpose 11%
• Financing 11%
• Calculation 11%

Economics, Econometrics and Finance

• Volatility 88%
• Time Series 44%
• Risk Modeling 44%
• Managers 11%
• ARCH Model 11%
• Emerging Economies 11%
• Capital Requirements 11%
• Share 11%
• Loss 11%
• Financing 11%
• Return 11%