A comparison of expected shortfall estimation models
Marcelo Brutti Righi; Paulo Sergio Ceretta
| 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 | Schätzung | Estimation | Risikomanagement | Risk management | Portfolio-Management | Portfolio selection | Schätztheorie | Estimation theory | Prognoseverfahren | Forecasting model | Risiko | Risk |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011317189