Complete mixability and asymptotic equivalence of worst-possible VaR and ES estimates
Year of publication: |
2013
|
---|---|
Authors: | Puccetti, Giovanni ; Wang, Bin ; Wang, Ruodu |
Published in: |
Insurance: Mathematics and Economics. - Elsevier, ISSN 0167-6687. - Vol. 53.2013, 3, p. 821-828
|
Publisher: |
Elsevier |
Subject: | Complete mixability | Worst-dependence scenarios | Value-at-Risk | Expected Shortfall | Basel III |
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