Fitting a distribution to value-at-risk and expected shortfall, with an application to covered bonds
Dirk Tasche
| Year of publication: |
June 2016
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|---|---|
| Authors: | Tasche, Dirk |
| Published in: |
The journal of credit risk : published quarterly by Incisive Media. - London : Infopro Digital, ISSN 1744-6619, ZDB-ID 2170422-3. - Vol. 12.2016, 2, p. 77-111
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| Subject: | covered bonds | expected loss | quantile | expected shortfall (ES) | method of moments | two-parameter distribution family | Risikomaß | Risk measure | Pfandbrief | Covered bond | Theorie | Theory | Statistische Verteilung | Statistical distribution | Kreditrisiko | Credit risk | Portfolio-Management | Portfolio selection |
| 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/10011597894