Unexpected tails in risk measurement: Some international evidence
Year of publication: |
2014
|
---|---|
Authors: | Tolikas, Konstantinos |
Published in: |
Journal of Banking & Finance. - Elsevier, ISSN 0378-4266. - Vol. 40.2014, C, p. 476-493
|
Publisher: |
Elsevier |
Subject: | Risk analysis | Extreme Value Theory | Value-at-Risk | Expected Shortfall | Fat tails |
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