Risk quantification for commodity ETFs: backtesting value-at-risk and expected shortfall
Esther B. Del Brio, Andrés Mora-Valencia, Javier Perote
| Year of publication: |
2020
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|---|---|
| Authors: | Brio, Esther B. del ; Mora-Valencia, Andrés ; Perote, Javier |
| Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 70.2020, p. 1-21
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| Subject: | Value-at-risk | Expected shortfall | Backtesting | Gram-Charlier expansion | Risikomanagement | Risk management | Risikomaß | Risk measure | Portfolio-Management | Portfolio selection |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.irfa.2017.11.007 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012318296