Expected Shortfall, spectral risk measures, and the aggravating effect of background risk, or: risk vulnerability and the problem of subadditivity
Year of publication: |
April 2018
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Authors: | Brandtner, Mario |
Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 89.2018, p. 138-149
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Subject: | Spectral risk measures | Expected Shortfall | Risk vulnerability | Subadditivity | Theorie | Theory | Risikomaß | Risk measure | Risiko | Risk | Messung | Measurement | Portfolio-Management | Portfolio selection | Risikomanagement | Risk management | Entscheidung unter Risiko | Decision under risk |
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