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~institution:"CESifo"
~subject:"Value at Risk"
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Value at Risk
extreme value theory
2
model averaging
2
Expected Shortfall
1
Value-at-Risk
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bootstrapping
1
decision based evaluation
1
decision based evaluations
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expected equities returns
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expected shortfall
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value at risk
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value-at-risk
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Bec, Frédérique
1
Filer, Randall
1
Gollier, Christian
1
Zikovic, Sasa
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CESifo
Institut für Schweizerisches Bankwesen <Zürich>
17
HAL
15
Sonderforschungsbereich Ökonomisches Risiko <Berlin>
12
National Centre of Competence in Research North South <Bern>
9
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
8
Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät
7
Geary Institute, University College Dublin
6
Center for Entrepreneurial and Financial Studies <München>
4
Center for Financial Studies
4
Center for Operations Research and Econometrics <Louvain-la-Neuve>
3
Federal Reserve Bank <New York, NY>
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Frankfurt School of Finance and Management
3
Institut für Finanzwirtschaft <Braunschweig>
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London School of Economics and Political Science
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Tinbergen Instituut
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Centre d'Économie de la Sorbonne, Université Paris 1 (Panthéon-Sorbonne)
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Department Wirtschaftswissenschaften, Technische Universität Carolo-Wilhelmina zu Braunschweig
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Department of Economics, University of Waterloo
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Dipartimento di Economia e Management, Università degli Studi di Trento
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European Central Bank
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Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid
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Institut de Recherche Économique et Sociale (IRES), École des Sciences Économiques de Louvain
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International Actuarial Association / Actuarial Studies in Non-Life Insurance
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National Centre of Competence in Research - Financial Valuation and Risk Management
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Birkbeck College <London> / Department of Economics
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Ranking of VaR and ES Models: Performance in Developed and Emerging Markets
Zikovic, Sasa
;
Filer, Randall
-
CESifo
-
2012
An inherent problem with comparing and ranking competing
Value
at
Risk
(VaR) and Expected shortfall (ES) models is that …
Persistent link: https://www.econbiz.de/10010586077
Saved in:
2
Term Structure and Cyclicity of
Value-at-Risk
: Consequences for the Solvency Capital Requirement
Bec, Frédérique
;
Gollier, Christian
-
CESifo
-
2009
This paper explores empirically the link between French equities returns
Value-at-Risk
(VaR) and the state of financial …
Persistent link: https://www.econbiz.de/10005051507
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