On exactitude in financial regulation: Value-at-risk, expected shortfall, and expectiles
Year of publication: |
2018
|
---|---|
Authors: | Chen, James Ming |
Published in: |
Risks. - Basel : MDPI, ISSN 2227-9091. - Vol. 6.2018, 2, p. 1-28
|
Publisher: |
Basel : MDPI |
Subject: | expectiles | risk measures | expected shortfall | value-at-risk | VaR | Basel accords | elicitability | coherence | backtesting | robustness | gain/loss ratios |
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