On the measurement of economic tail risk
Steven Kou, Xianhua Peng
| Year of publication: |
September October 2016
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|---|---|
| Authors: | Kou, Steven ; Peng, Xianhua |
| Published in: |
Operations research. - Catonsville, MD : INFORMS, ISSN 0030-364X, ZDB-ID 123389-0. - Vol. 64.2016, 5, p. 1056-1072
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| Subject: | comonotonic independence | model uncertainty | robustness | elicitability | backtest | value-at-risk | expected shortfall | Theorie | Theory | Risikomaß | Risk measure | Risiko | Risk | Messung | Measurement | Risikomanagement | Risk management | Modellierung | Scientific modelling |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1287/opre.2016.1539 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011594638