Value-at-risk versus expected shortfall : a practical perspective
Year of publication: |
2005
|
---|---|
Authors: | Yamai, Yasuhiro ; Yoshiba, Toshinao |
Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 29.2005, 4, p. 997-1015
|
Subject: | Risikomaß | Risk measure |
-
Tractable counterparts of distributionally robust constraints on risk measures
Postek, Krzysztof S., (2014)
-
Computationally tractable counterparts of distributionally robust constraints on risk measures
Postek, Krzysztof Stanisław, (2015)
-
Estimation of distortion risk measures
Tsukahara, Hideatsu, (2014)
- More ...
-
Yamai, Yasuhiro, (2001)
-
Yamai, Yasuhiro, (2002)
-
On the validity of value-at-risk : comparative analyses with expected shortfall
Yamai, Yasuhiro, (2002)
- More ...