Multilevel and tail risk management
Lynda Khalaf, Arturo Leccadito and Giovanni Urga
| Year of publication: |
2022
|
|---|---|
| Authors: | Khalaf, Lynda ; Leccadito, Arturo ; Urga, Giovanni |
| Published in: |
Journal of financial econometrics. - Oxford : Oxford University Press, ISSN 1479-8417, ZDB-ID 2065613-0. - Vol. 20.2022, 5, p. 839-874
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| Subject: | value-at-risk | expected shortfall | backtesting | CaViaR | exchange-traded funds | multiple testing | Risikomaß | Risk measure | Risikomanagement | Risk management | Statistischer Test | Statistical test | Portfolio-Management | Portfolio selection | Schätzung | Estimation | Monte-Carlo-Simulation | Monte Carlo simulation | Messung | Measurement | Statistische Verteilung | Statistical distribution | Indexderivat | Index derivative |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/jjfinec/nbaa044 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013460029