What Is the Best Risk Measure in Practice? A Comparison of Standard Measures
Year of publication: |
2013-12
|
---|---|
Authors: | Emmer, Suzanne ; Kratz, Marie ; Tasche, Dirk |
Institutions: | HAL |
Subject: | Backtesting | Capital Allocation | Coherence | Diversification | Elicitability | Expected Shortfall | Expectile | Forecasts | Probability Integral Transform (PIT) | Risk Measure | Risk Management | Robustness | Value-at-Risk |
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