On exactitude in financial regulation : value-at-risk, expected shortfall, and expectiles
Year of publication: |
June 2018
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Authors: | Chen, Jim |
Published in: |
Risks : open access journal. - Basel : MDPI, ISSN 2227-9091, ZDB-ID 2704357-5. - Vol. 6.2018, 2, p. 1-28
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Subject: | expectiles | risk measures | expected shortfall | value-at-risk | VaR | Basel accords | elicitability | coherence | backtesting | robustness | gain/loss ratios | Prognoseverfahren | Forecasting model | Theorie | Theory | Risikomaß | Risk measure | Basler Akkord | Basel Accord | Finanzdienstleistung | Financial services | Messung | Measurement | Portfolio-Management | Portfolio selection | ARCH-Modell | ARCH model | Statistische Verteilung | Statistical distribution |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.3390/risks6020061 [DOI] hdl:10419/195853 [Handle] |
Source: | ECONIS - Online Catalogue of the ZBW |
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