A theory for measures of tail risk
Year of publication: |
2021
|
---|---|
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
|
Subject: | Basel III | tail risk | risk aggregation | elicitability | value at risk | Risikomaß | Risk measure | Bankrisiko | Bank risk | Basler Akkord | Basel Accord | Risiko | Risk | Risikomanagement | Risk management | Theorie | Theory | Messung | Measurement |
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