Concave risk measures in international capital regulation

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dc.creatorKondor, Imre
dc.creatorSzepessy, Andras
dc.creatorUjvarosi, Tunde
dc.date2003-07-10
dc.date.accessioned2026-07-07T12:11:02Z
dc.date.available2026-07-07T12:11:02Z
dc.descriptionWe show that some specific market risk measures implied by current international capital regulation (the Basel Accords and the Capital Adequacy Directive of the European Union) violate the obvious requirement of convexity in some regions in the space of portfolio weights.
dc.identifierhttps://arxiv.org/abs/cond-mat/0307244
dc.identifierhttp://arxiv.org/abs/cond-mat/0307244
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/210102
dc.subjectStatistical Mechanics
dc.subjectRisk Management
dc.titleConcave risk measures in international capital regulation
dc.typetext

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