Showing 1 - 10 of 640,474
Persistent link: https://www.econbiz.de/10011342170
Persistent link: https://www.econbiz.de/10009752627
Persistent link: https://www.econbiz.de/10012420134
Persistent link: https://www.econbiz.de/10012307399
Persistent link: https://www.econbiz.de/10011567927
We introduce a class of quantile-based risk measures that generalize Value at Risk (VaR) and, likewise Expected Shortfall (ES), take into account both the frequency and the severity of losses. Under VaR a single confidence level is assigned regardless of the size of potential losses. We allow...
Persistent link: https://www.econbiz.de/10011900226
Persistent link: https://www.econbiz.de/10014519979
Persistent link: https://www.econbiz.de/10010402193
Persistent link: https://www.econbiz.de/10013177451
Persistent link: https://www.econbiz.de/10011694399