Fitting a distribution to value-at-risk and expected shortfall, with an application to covered bonds
Year of publication: |
June 2016
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Authors: | Tasche, Dirk |
Published in: |
The journal of credit risk : published quarterly by Incisive Media. - London : Infopro Digital, ISSN 1744-6619, ZDB-ID 2170422-3. - Vol. 12.2016, 2, p. 77-111
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Subject: | covered bonds | expected loss | quantile | expected shortfall (ES) | method of moments | two-parameter distribution family | Risikomaß | Risk measure | Statistische Verteilung | Statistical distribution | Portfolio-Management | Portfolio selection | Pfandbrief | Covered bond | Momentenmethode | Method of moments | Theorie | Theory | Erwartungsbildung | Expectation formation |
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