Choosing Expected Shortfall Over VaR in Basel III Using Stochastic Dominance
Year of publication: |
2016
|
---|---|
Authors: | Chang, Chia-Lin |
Other Persons: | Jiménez-Martin, Juan-Angel (contributor) ; Maasoumi, Esfandiar (contributor) ; McAleer, Michael (contributor) ; Perez Amaral, Teodosio (contributor) |
Publisher: |
[2016]: [S.l.] : SSRN |
Subject: | ARCH-Modell | ARCH model | Prognoseverfahren | Forecasting model | Risikomaß | Risk measure | Basler Akkord | Basel Accord | Dominanztest | Stochastic dominance test | Statistische Verteilung | Statistical distribution |
Extent: | 1 Online-Ressource (42 p) |
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Series: | USC-INET Research Paper ; No. 16-05 |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments February 2016 erstellt |
Other identifiers: | 10.2139/ssrn.2746710 [DOI] |
Classification: | G32 - Financing Policy; Capital and Ownership Structure ; G11 - Portfolio Choice ; G17 - Financial Forecasting ; C53 - Forecasting and Other Model Applications ; C22 - Time-Series Models |
Source: | ECONIS - Online Catalogue of the ZBW |
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