More accurate measurement for enhanced controls : VaR vs ES?
Year of publication: |
May 2018
|
---|---|
Authors: | Guégan, Dominique ; Hassani, Bertrand |
Published in: |
Journal of international financial markets, institutions & money. - Amsterdam : Elsevier, ISSN 1042-4431, ZDB-ID 1117317-8. - Vol. 54.2018, p. 152-165
|
Subject: | Risk measures | Value-at-Risk | Expected shortfall | Marginal distributions | Level of confidence | Risikomaß | Risk measure | Messung | Measurement | Theorie | Theory |
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