A theory for measures of tail risk
Fangda Liu, Ruodu Wang
| Year of publication: |
2021
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|---|---|
| Authors: | Liu, Fangda ; Wang, Ruodu |
| Published in: |
Mathematics of operations research. - Catonsville, MD : INFORMS, ISSN 0364-765X, ZDB-ID 195683-8. - Vol. 46.2021, 3, p. 1109-1128
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| Subject: | Basel III | tail risk | risk aggregation | elicitability | value at risk | Finanzdienstleistung | Financial services | Theorie | Theory | Risikomaß | Risk measure | Basler Akkord | Basel Accord | Bankrisiko | Bank risk | Risikomanagement | Risk management | Risiko | Risk | Statistische Verteilung | Statistical distribution | Messung | Measurement | Ausreißer | Outliers |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1287/moor.2020.1072 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012625694