Assessing coherent value-at-risk and expected shortfall with extreme expectiles
Abdelaati Daouia, Stéphane Girard and Gilles Stupfler
| Year of publication: |
2015
|
|---|---|
| Authors: | Daouia, Abdelaati ; Girard, Stéphane ; Stupfler, Gilles |
| Publisher: |
Toulouse : TSE |
| Subject: | Asymmetric squared loss | Coherency | Expectiles | Extrapolation | Extreme values | Heavy tails | Marginal expected shortfall | Value at Risk | Risikomaß | Risk measure | Theorie | Theory | Risikomanagement | Risk management | Statistische Verteilung | Statistical distribution | Volatilität | Volatility | Kapitaleinkommen | Capital income | ARCH-Modell | ARCH model | Portfolio-Management | Portfolio selection | Ausreißer | Outliers | Prognoseverfahren | Forecasting model |
| Extent: | Online-Ressource (35 S.) graph. Darst. |
|---|---|
| Series: | Working papers / TSE : WP. - Toulouse, ZDB-ID 2816658-9. - Vol. 566 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
| Language: | English |
| Notes: | Systemvoraussetzungen: PDF Reader |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011302290