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On the risk capital framework of financial institutions

Ishikawa, Tatsuya; Yamai, Yasuhiro; Ieda, Akira - 2003

Persistent link: https://www.econbiz.de/10001787114

On the risk capital framework of financial institutions

Ishikawa, Tatsuya; Yamai, Yasuhiro; Ieda, Akira - In: Monetary and economic studies 21 (2003) 3, pp. 83-105

Persistent link: https://www.econbiz.de/10001802336

On the risk capital framework of financial institutions

Ishikawa, Tatsuya; Yamai, Yasuhiro; Ieda, Akira - In: Monetary and economic studies 21 (2003) 3, pp. 83-105

Persistent link: https://www.econbiz.de/10009935023

On the Risk Capital Framework of Financial Institutions

Ishikawa, Tatsuya; Yamai, Yasuhiro; Ieda, Akira - In: Monetary and Economic Studies 21 (2003) 3, pp. 83-105

In this paper, we consider the risk capital framework adopted by financial institutions. Specifically, we review the recent literature on this issue, and clarify the economic assumptions behind this framework. Based on these observations, we then develop a simple model for analyzing the economic...

Persistent link: https://www.econbiz.de/10004975788

Value-at-risk versus expected shortfall : a practical perspective

Yamai, Yasuhiro; Yoshiba, Toshinao - In: Journal of banking & finance 29 (2005) 4, pp. 997-1015

Persistent link: https://www.econbiz.de/10002601150

Comparative analyses of expected shortfall and VaR : their estimation error, decomposition, and optimization

Yamai, Yasuhiro; Yoshiba, Toshinao - 2001

Persistent link: https://www.econbiz.de/10001598298

Comparative analyses of expected shortfall and value-at-risk [Teil] 3: their validity under market stress

Yamai, Yasuhiro; Yoshiba, Toshinao - In: Monetary and economic studies 20 (2002) 3, pp. 181-237

Persistent link: https://www.econbiz.de/10001705659

On the validity of value-at-risk : comparative analyses with expected shortfall

Yamai, Yasuhiro; Yoshiba, Toshinao - In: Monetary and economic studies 20 (2002) 1, pp. 57-85

Persistent link: https://www.econbiz.de/10001636734

Comparative analyses of expected shortfall and value-at-risk, [Pt. 1]: their estimation error, decomposition, and optimization

Yamai, Yasuhiro; Yoshiba, Toshinao - In: Monetary and economic studies 20 (2002) 1, pp. 87-121

Persistent link: https://www.econbiz.de/10001636735

Comparative analyses of expected shortfall and value-at-risk (2) : expected utility maximization and tail risk

Yoshiba, Toshinao; Yamai, Yasuhiro - 2001

Persistent link: https://www.econbiz.de/10001607851

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