Estimation risk for value-at-risk and expected shortfall
Year of publication: |
February 2018
|
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Authors: | Kabaila, Paul ; Mainzer, Rheanna |
Published in: |
Journal of risk. - London : Infopro Digital Risk, ISSN 1465-1211, ZDB-ID 1476260-2. - Vol. 20.2017/2018, 3, p. 29-47
|
Subject: | value-at-risk (VaR) | expected shortfall (ES) | estimation risk | GARCH(1,1) | market risk | parameter estimation error | Risikomaß | Risk measure | Schätztheorie | Estimation theory | ARCH-Modell | ARCH model | Schätzung | Estimation | Risikomanagement | Risk management | Portfolio-Management | Portfolio selection | Risiko | Risk | Marktrisiko | Market risk |
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