Asymptotic equivalence of conservative value-at-risk- and expected shortfall-based capital charges
Year of publication: |
2014
|
---|---|
Authors: | Puccetti, Giovanni ; Rüschendorf, Ludger |
Published in: |
Journal of risk. - London : Infopro Digital Risk, ISSN 1465-1211, ZDB-ID 1476260-2. - Vol. 16.2013/2014, 3, p. 3-22
|
Subject: | Expected shortfall (ES) | Value-at-risk (VAR) | Original research | Theorie | Theory | Risikomaß | Risk measure | Erwartungsbildung | Expectation formation |
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