Unexpected shortfalls of Expected Shortfall : extreme default profiles and regulatory arbitrage
Pablo Koch-Medina, Cosimo Munari
| Year of publication: |
January 2016
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|---|---|
| Authors: | Koch Medina, Pablo ; Munari, Cosimo-Andrea |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 62.2016, p. 141-151
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| Subject: | Expected Shortfall | Value-at-risk | Financial regulation | Tail behavior | Default behavior | Risikomaß | Risk measure | Portfolio-Management | Portfolio selection | Kreditrisiko | Credit risk | Risikomanagement | Risk management | Finanzkrise | Financial crisis | Regulierung | Regulation | Theorie | Theory | Arbitrage | Insolvenz | Insolvency | Bankenregulierung | Bank regulation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jbankfin.2015.11.006 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011634091