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1
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
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2
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
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3
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
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4
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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5
Comparative analyses of expected shortfall and value-at-risk, [Pt.] (2): expected utility maximization and tail risk
Yamai, Yasuhiro
;
Yoshiba, Toshinao
- In:
Monetary and economic studies
20
(
2002
)
2
,
pp. 95-115
Persistent link: https://www.econbiz.de/10001669839
Saved in:
6
Comparative analyses of expected shortfall and value-at-risk (3) : their validity under market stress
Yamai, Yasuhiro
;
Yoshiba, Toshinao
-
2002
Persistent link: https://www.econbiz.de/10001676681
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