Comparative analyses of expected shortfall and value-at-risk [Teil] 3: their validity under market stress
Year of publication: |
2002
|
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Authors: | Yamai, Yasuhiro ; Yoshiba, Toshinao |
Published in: |
Monetary and economic studies. - Tokyo : [Verlag nicht ermittelbar], ISSN 0288-8432, ZDB-ID 878438-3. - Vol. 20.2002, 3, p. 181-237
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Subject: | Messung | Measurement | Theorie | Theory | Risikomaß | Risk measure |
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