Complete mixability and asymptotic equivalence of worst-possible VaR and ES estimates
Giovanni Puccetti; Bin Wang; Ruodu Wang
| Year of publication: |
2013
|
|---|---|
| Authors: | Puccetti, Giovanni ; Wang, Bin ; Wang, Ruodu |
| Published in: |
Insurance. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 53.2013, 3, p. 821-828
|
| Subject: | Complete mixability | Worst-dependence scenarios | Value-at-Risk | Expected Shortfall | Basel III | Risikomaß | Risk measure | Basler Akkord | Basel Accord | VAR-Modell | VAR model | Schätztheorie | Estimation theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010227817