A comparison of market risk measures from a twofold perspective : accurate and loss function
Year of publication: |
2022
|
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Authors: | Muela, Sonia Benito ; López-Martin, Carmen ; Arguedas-Sanz, Raquel |
Published in: |
ACRN journal of finance and risk perspectives. - [Oxford] : ACRN Publishing, ISSN 2305-7394, ZDB-ID 3046113-3. - Vol. 11.2022, p. 79-104
|
Subject: | Expected shortfall | Value at Risk | APARCH model | Backtesting | Skewed distributions | Theorie | Theory | Risikomaß | Risk measure | Statistische Verteilung | Statistical distribution | Messung | Measurement | Portfolio-Management | Portfolio selection | Prognoseverfahren | Forecasting model | Risikomanagement | Risk management |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.35944/jofrp.2022.11.1.005 [DOI] |
Classification: | C13 - Estimation ; c58 ; G11 - Portfolio Choice ; G15 - International Financial Markets ; G1 - General Financial Markets |
Source: | ECONIS - Online Catalogue of the ZBW |
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