Asymptotic equivalence of conservative value-at-risk- and expected shortfall-based capital charges
Giovanni Puccetti and Ludger Rüschendorf
| Year of publication: |
2014
|
|---|---|
| Authors: | Puccetti, Giovanni ; Rüschendorf, Ludger |
| Published in: |
Journal of risk. - London : Infopro Digital Risk, ISSN 1465-1211, ZDB-ID 1476260-2. - Vol. 16.2013/2014, 3, p. 3-22
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| Subject: | Expected shortfall (ES) | Value-at-risk (VAR) | Original research | Risikomaß | Risk measure | Theorie | Theory | Erwartungsbildung | Expectation formation | VAR-Modell | VAR model | Portfolio-Management | Portfolio selection |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JOR.2014.291 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013262922