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Value-at-risk, expected shortfall and marginal risk contribution

Rau-Bredow, Hans - In: Risk measures for the 21st century, (pp. 61-68). 2004

Persistent link: https://www.econbiz.de/10002081512

Value at risk, Normalverteilungshypothese und Extremwertverhalten

Rau-Bredow, Hans - In: Finanz-Betrieb : FB ; Zeitschrift für … 4 (2002) 10, pp. 603-607

Persistent link: https://www.econbiz.de/10001701506

Überwachung von Marktpreisrisiken durch Value at Risk

Rau-Bredow, Hans - In: Wirtschaftswissenschaftliches Studium : WiSt ; … 30 (2001) 6, pp. 315-319

Persistent link: https://www.econbiz.de/10001579213

Bigger is not always safer : a critical analysis of the subadditivity assumption for coherent risk measures

Rau-Bredow, Hans - In: Risks : open access journal 7 (2019) 3/91, pp. 1-18

This paper provides a critical analysis of the subadditivity axiom, which is the key condition for coherent risk measures. Contrary to the subadditivity assumption, bank mergers can create extra risk. We begin with an analysis how a merger affects depositors, junior or senior bank creditors, and...

Persistent link: https://www.econbiz.de/10012126479

Bigger Is Not Always Safer : A Critical Analysis of the Subadditivity Assumption for Coherent Risk Measures

Rau-Bredow, Hans - 2019

Persistent link: https://www.econbiz.de/10012863656