Quantile-based risk sharing
Year of publication: |
July-August 2018
|
---|---|
Authors: | Embrechts, Paul ; Liu, Haiyan ; Wang, Ruodu |
Published in: |
Operations research. - Catonsville, MD : INFORMS, ISSN 0030-364X, ZDB-ID 123389-0. - Vol. 66.2018, 4, p. 936-949
|
Subject: | value-at-risk | expected shortfall | risk sharing | regulatory capital | robustness | Arrow-Debreu equilibrium | Theorie | Theory | Risikomaß | Risk measure | Risiko | Risk | Risikomanagement | Risk management | Portfolio-Management | Portfolio selection | Basler Akkord | Basel Accord |
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