Boucher, Christophe M.; Daníelsson, Jón; Kouontchou, … - In: Journal of Banking & Finance 44 (2014) C, pp. 72-92
The experience from the global financial crisis has raised serious concerns about the accuracy of standard risk measures as tools for the quantification of extreme downward risks. A key reason for this is that risk measures are subject to a model risk due, e.g. to specification and estimation...