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~person:"Huschens, Stefan"
~person:"Filer, Randall"
~subject:"Value at Risk"
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Search: subject:"Expected Shortfall"
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Value at Risk
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Huschens, Stefan
Filer, Randall
Dowd, Kevin
4
Hoogerheide, Lennart
4
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4
Allen, Linda
3
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3
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1
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
Ranking of VaR and ES Models: Performance in developed and emerging markets
Zikovic, Sasa
;
Filer, Randall
-
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/10010289638
Saved in:
3
Hybrid historical simulation VaR and ES : performance in developed and emerging markets
Zikovic, Sasa
;
Filer, Randall
-
2009
We introduce a new hybrid approach to joint estimation of Value at Risk (VaR) and
Expected
Shortfall
(ES) for high …
Persistent link: https://www.econbiz.de/10010265962
Saved in:
4
Von der Markt- zur Kreditrisikomessung
Huschens, Stefan
-
2000
Persistent link: https://www.econbiz.de/10013440957
Saved in:
5
Measuring risk in value-at-risk in the presence of infinite variance
Huschens, Stefan
-
1998
Persistent link: https://www.econbiz.de/10013440918
Saved in:
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