Measuring risks in the tail: the extreme VaR and its confidence interval
Year of publication: |
2017
|
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Authors: | Guégan, Dominique ; Hassani, Bertrand ; Li, Kehan |
Published in: |
Risk and decision analysis. - Amsterdam : IOS Press, ISSN 1569-7371, ZDB-ID 2512630-1. - Vol. 6.2017, 3, p. 213-224
|
Subject: | Regulation | extreme risk | extreme Value-at-Risk | confidence interval | asymptotic theory | stress testing | Risikomaß | Risk measure | Ausreißer | Outliers | Risiko | Risk | Schätztheorie | Estimation theory | Risikomanagement | Risk management | Statistische Verteilung | Statistical distribution | Finanzdienstleistung | Financial services | Bankrisiko | Bank risk | Portfolio-Management | Portfolio selection | Messung | Measurement | Induktive Statistik | Statistical inference |
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