A comparison of expected shortfall estimation models
Year of publication: |
2015
|
---|---|
Authors: | Righi, Marcelo Brutti ; Ceretta, Paulo Sergio |
Published in: |
Journal of economics & business. - Amsterdam [u.a.] : Elsevier, ISSN 0148-6195, ZDB-ID 716757-X. - Vol. 78.2015, p. 14-47
|
Subject: | Risk measures | Expected shortfall | Risk estimation | Backtesting | Risikomaß | Risk measure | Messung | Measurement | Risikomanagement | Risk management | Theorie | Theory | Schätzung | Estimation | Risiko | Risk | Portfolio-Management | Portfolio selection | Prognoseverfahren | Forecasting model | Erwartungsbildung | Expectation formation |
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