Hamidi, Benjamin; Kouontchou, Patrick; Maillet, Bertrand - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2010
obtaining more diversified Value-at-Risk and Expected Shortfall measures, by applying the diversification principle to model … risk. Following Taylor (2008) and Gouriéroux and Jasiak (2008), we introduce a new class of models called Dynamic … the DARE approach and how expectiles can be used to estimate quantile risk measures. We finally use the main validation …