PELVE : probability equivalent level of VaR and ES
Year of publication: |
2023
|
---|---|
Authors: | Li, Hengxin ; Wang, Ruodu |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 234.2023, 1, p. 353-370
|
Subject: | Value-at-Risk | Expected Shortfall | Regulatory capital | Heavy tails | Portfolio diversification | Theorie | Theory | Risikomaß | Risk measure | Portfolio-Management | Portfolio selection | Statistische Verteilung | Statistical distribution | Basler Akkord | Basel Accord | Wahrscheinlichkeitsrechnung | Probability theory |
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