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~person:"Daníelsson, Jón"
~person:"Embrechts, Paul"
~person:"Pérez Amaral, Teodosio"
~type_genre:"Non-commercial literature"
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Risikomaß
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Daníelsson, Jón
Embrechts, Paul
Pérez Amaral, Teodosio
McAleer, Michael
62
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28
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19
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ECONIS (ZBW)
42
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1
Quantile-based risk sharing
Embrechts, Paul
;
Liu, Haiyan
;
Wang, Ruodu
-
2017
-
This version: October 24, 2017
-called Range-
Value-at-Risk
(RVaR), as their preferences. The family of RVaR includes the
Value-at-Risk
(VaR) and the Expected …
Persistent link: https://www.econbiz.de/10011874813
Saved in:
2
Why risk is so hard to measure
Daníelsson, Jón
;
Chen Zhou
-
2016
Persistent link: https://www.econbiz.de/10011415993
Saved in:
3
Quantile-based risk sharing with heterogeneous beliefs
Embrechts, Paul
;
Liu, Haiyan
;
Mao, Tiantian
;
Wang, Ruodu
-
2017
equivalent to equilibrium allocations, and the equilibrium price is unique. For
Value-at-Risk
(VaR) agents or mixed VaR and ES …
Persistent link: https://www.econbiz.de/10011875652
Saved in:
4
Choosing expected shortfall over VaR in Basel III using stochastic dominance
Chang, Chia-Lin
;
Jiménez-Martín, Juan-Ángel
; …
-
2015
shifting the quantitative risk metrics system from
Value-at-Risk
(VaR) to Expected Shortfall (ES). The Basel Committee on …
Persistent link: https://www.econbiz.de/10011431395
Saved in:
5
A stochastic dominance approach to the Basel III dilemma : expected shortfall or VaR?
Chang, Chia-Lin
;
Jiménez-Martín, Juan-Ángel
; …
-
2015
system from
Value-at-Risk
(VaR) to Expected Shortfall (ES). The BCBS (2013) noted that - a number of weaknesses have been …
Persistent link: https://www.econbiz.de/10010532611
Saved in:
6
Choosing expected shortfall over VaR in Basel III using stochastic dominance
Chang, Chia-Lin
;
Jiménez-Martín, Juan-Ángel
; …
-
2015
Persistent link: https://www.econbiz.de/10011432786
Saved in:
7
A stochastic dominance approach to the Basel III dilemma : expected shortfall or VaR?
Chang, Chia-Lin
;
Jiménez-Martín, Juan-Ángel
; …
-
2015
Persistent link: https://www.econbiz.de/10011346199
Saved in:
8
GFC-robust risk management under the Basel accord using extreme value methodologies
Jiménez-Martín, Juan-Ángel
;
McAleer, Michael
;
Pérez …
-
2013
Persistent link: https://www.econbiz.de/10009765824
Saved in:
9
Risk modelling and management : an overview
Chang, Chia-Lin
;
Allen, David E.
;
McAleer, Michael
; …
-
2013
Persistent link: https://www.econbiz.de/10009767001
Saved in:
10
Has the Basel accord improved risk management during the global financial crisis?
McAleer, Michael
;
Jiménez-Martín, Juan-Ángel
;
Pérez …
-
2013
Persistent link: https://www.econbiz.de/10009724104
Saved in:
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