Risk research: An academic response to {Basel} {II}

An academic response to {Basel} {II}

Danielsson, J., P. Embrechts, C. Goodhart, C. Keating, F. Muennich, O. Renault, and H. S. Shin (2001). An academic response to Basel II.

Submitted in Response to the Basel Committee's Request for Comments.

@article{DanielssonGoodhartShin2001,
    author={J{\'o}n Dan{\'i}elsson and Paul Embrechts and Charles Goodhart and Con Keating and Felix Muennich and Olivier Renault and Hyun Song Shin},
	year=2001,
    INSTITUTION={LSE Financial Market Group},
	title={An academic response to {Basel} {II}},
    url={http://www.bis.org/bcbs/ca/fmg.pdf},
	abstract={Submitted in Response to the Basel Committee's Request for Comments.},
	
}

Using a bootstrap method to choose the sample fraction in tail index estimation

Asset Price Dynamics with Value-at-Risk Constrained Traders