Fitting a Distribution to Value-at-Risk and Expected Shortfall, with an Application to Covered Bonds
Year of publication: |
2016
|
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Authors: | Tasche, Dirk |
Publisher: |
[2016]: [S.l.] : SSRN |
Subject: | Risikomaß | Risk measure | Risikomanagement | Risk management | Portfolio-Management | Portfolio selection | Pfandbrief | Covered bond | Statistische Verteilung | Statistical distribution |
Extent: | 1 Online-Ressource (27 p) |
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Type of publication: | Book / Working Paper |
Language: | English |
Notes: | In: Journal of Credit Risk, Vol. 12, No. 2, p. 1-34, 2016 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments November 12, 2015 erstellt |
Other identifiers: | 10.2139/ssrn.2611360 [DOI] |
Classification: | C13 - Estimation ; C51 - Model Construction and Estimation |
Source: | ECONIS - Online Catalogue of the ZBW |
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