Expected shortfall or median shortfall
Steven Kou and Xianhua Peng
| Year of publication: |
2014
|
|---|---|
| Authors: | Kou, Steven ; Peng, Xianhua |
| Published in: |
Journal of financial engineering. - Hackensack, NJ : World Scientific, ISSN 2345-7686, ZDB-ID 2813048-0. - Vol. 1.2014, 1, p. 1-6
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| Subject: | Model uncertainty | robustness | elicitability | backtest | Value-at-Risk | expected shortfall | median shortfall | Basel accord | capital requirements | Risikomaß | Risk measure | Basler Akkord | Basel Accord | Theorie | Theory | Risikomanagement | Risk management | Portfolio-Management | Portfolio selection | Kreditrisiko | Credit risk |
| 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/10010508103