Showing 1 - 10 of 1,188
Persistent link: https://www.econbiz.de/10012294144
Persistent link: https://www.econbiz.de/10011597203
Persistent link: https://www.econbiz.de/10011875432
Persistent link: https://www.econbiz.de/10012490211
Value-at-Risk (VaR) and Expected Shortfall (ES) are common high quantile-based risk measures adopted in financial regulations and risk management. In this paper, we propose a tail risk measure based on the most probable maximum size of risk events (MPMR) that can occur over a length of time....
Persistent link: https://www.econbiz.de/10014433723
Persistent link: https://www.econbiz.de/10009155400
Persistent link: https://www.econbiz.de/10010515943
Persistent link: https://www.econbiz.de/10010515946
Persistent link: https://www.econbiz.de/10011298886
Persistent link: https://www.econbiz.de/10011326796