On the significance of expected shortfall as a coherent risk measure
Year of publication: |
2005
|
---|---|
Authors: | Inui, Koji ; Kijima, Masaaki |
Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 7529053. - Vol. 29.2005, 4, p. 853-864
|
Saved in:
Saved in favorites
Similar items by person
-
A Markovian Framework in Multi-Factor Heath-Jarrow-Morton Models
Inui, Koji, (1998)
-
On the significance of expected shortfall as a coherent risk measure
Inui, Koji, (2005)
-
A Markovian framework in multi-factor Heath-Jarrow-Morton models
Inui, Koji, (1998)
- More ...