On the significance of expected shortfall as a coherent risk measure
Year of publication: |
2005
|
---|---|
Authors: | Inui, Koji ; Kijima, Masaaki |
Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 29.2005, 4, p. 853-864
|
Subject: | Risikomanagement | Risk management | Risikomaß | Risk measure |
-
The impact of systemic risk on the diversification benefits of a risk portfolio
Busse, Marc, (2014)
-
One-day-ahead forecast of state of turbulence based on today's economic situation
Chlebus, Marcin, (2018)
-
Does risk culture affect banks' volatility? : the case of the G-SIBs
Coluccia, Daniela, (2017)
- More ...
-
A Markovian framework in multi-factor Heath-Jarrow-Morton models
Inui, Koji, (1998)
-
A Markovian Framework in Multi-Factor Heath-Jarrow-Morton Models
Inui, Koji, (2001)
-
On the significance of expected shortfall as a coherent risk measure
Inui, Koji, (2005)
- More ...