Inefficiency and bias of modified value-at-risk and expected shortfall
Year of publication: |
August 2017
|
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Authors: | Martin, R. Douglas ; Arora, Rohit |
Published in: |
Journal of risk. - London : Infopro Digital Risk, ISSN 1465-1211, ZDB-ID 1476260-2. - Vol. 19.2017, 6, p. 59-84
|
Subject: | modified value-at-risk (mVaR) | modified expected shortfall (mES) | standard error | efficiency | delta method | Basel III | Risikomaß | Risk measure | Basler Akkord | Basel Accord | Prognoseverfahren | Forecasting model | Schätztheorie | Estimation theory |
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