More accurate measurement for enhanced controls : VaR vs ES?
Dominique Guegan, Bertrand K. Hassani
| Year of publication: |
May 2018
|
|---|---|
| Authors: | Guégan, Dominique ; Hassani, Bertrand |
| Published in: |
Journal of international financial markets, institutions & money. - Amsterdam : Elsevier, ISSN 1042-4431, ZDB-ID 1117317-8. - Vol. 54.2018, p. 152-165
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| Subject: | Risk measures | Value-at-Risk | Expected shortfall | Marginal distributions | Level of confidence | Risikomaß | Risk measure | Messung | Measurement | Theorie | Theory | Risiko | Risk | Portfolio-Management | Portfolio selection | Risikomanagement | Risk management | VAR-Modell | VAR model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.intfin.2017.06.002 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011984039