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Research toward the practical application of liquidity risk evaluation methods
Hisata, Yoshifumi; Yamai, Yasuhiro - 2000
Persistent link: https://www.econbiz.de/10001486133
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Comparative analyses of expected shortfall and VaR : their estimation error, decomposition, and optimization
Yamai, Yasuhiro; Yoshiba, Toshinao - 2001
Persistent link: https://www.econbiz.de/10001598298
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Comparative analyses of expected shortfall and value-at-risk (2) : expected utility maximization and tail risk
Yoshiba, Toshinao; Yamai, Yasuhiro - 2001
Persistent link: https://www.econbiz.de/10001607851
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On the validity of value-at-risk : comparative analyses with expected shortfall
Yamai, Yasuhiro; Yoshiba, Toshinao - 2001
Persistent link: https://www.econbiz.de/10001564769
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Comparative analyses of expected shortfall and value-at-risk (3) : their validity under market stress
Yamai, Yasuhiro; Yoshiba, Toshinao - 2002
Persistent link: https://www.econbiz.de/10001676681
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On the risk capital framework of financial institutions
Ishikawa, Tatsuya; Yamai, Yasuhiro; Ieda, Akira - 2003
Persistent link: https://www.econbiz.de/10001787114