Measuring risks in the tail: the extreme VaR and its confidence interval
Dominique Guégan, Bertrand Hassani and Kehan Li
| Year of publication: |
2017
|
|---|---|
| Authors: | Guégan, Dominique ; Hassani, Bertrand ; Li, Kehan |
| Published in: |
Risk and decision analysis. - Amsterdam : IOS Press, ISSN 1569-7371, ZDB-ID 2512630-1. - Vol. 6.2017, 3, p. 213-224
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| Subject: | Regulation | extreme risk | extreme Value-at-Risk | confidence interval | asymptotic theory | stress testing | Risikomaß | Risk measure | Schätztheorie | Estimation theory | Risikomanagement | Risk management | Risiko | Risk | Statistische Verteilung | Statistical distribution | Ausreißer | Outliers | Bankrisiko | Bank risk | VAR-Modell | VAR model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.3233/RDA-170128 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011925077