A stochastic dominance approach to the Basel III dilemma : expected shortfall or VaR?
Year of publication: |
2015
|
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Authors: | Chang, Chia-Lin ; Jiménez-Martín, Juan-Ángel ; Maasoumi, Esfandiar ; McAleer, Michael ; Pérez Amaral, Teodosio |
Publisher: |
Rotterdam [u.a.] : Tinbergen Inst. |
Subject: | stochastic dominance | Value-at-Risk | expected shortfall | optimizing strategy | Basel III Accord | Prognoseverfahren | Forecasting model | Risikomaß | Risk measure | Basler Akkord | Basel Accord | Theorie | Theory |
Extent: | Online-Ressource (39 S.) graph. Darst. |
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Series: | Discussion paper / Tinbergen Institute. - Rotterdam [u.a.] : [Verlag nicht ermittelbar], ISSN 0929-0834, ZDB-ID 2435783-2. - Vol. 2015-056 |
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
Language: | English |
Notes: | Systemvoraussetzungen: Acrobat Reader |
Other identifiers: | hdl:10419/111733 [Handle] |
Classification: | C53 - Forecasting and Other Model Applications ; C22 - Time-Series Models ; G32 - Financing Policy; Capital and Ownership Structure ; G11 - Portfolio Choice ; G17 - Financial Forecasting |
Source: | ECONIS - Online Catalogue of the ZBW |
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