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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 [Teil] 3: their validity under market stress
Yamai, Yasuhiro; Yoshiba, Toshinao - In: Monetary and economic studies 20 (2002) 3, pp. 181-237
Persistent link: https://www.econbiz.de/10001705659
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Comparative analyses of expected shortfall and value-at-risk, [Pt.] (2): expected utility maximization and tail risk
Yamai, Yasuhiro; Yoshiba, Toshinao - In: Monetary and economic studies 20 (2002) 2, pp. 95-115
Persistent link: https://www.econbiz.de/10001669839
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On the validity of value-at-risk : comparative analyses with expected shortfall
Yamai, Yasuhiro; Yoshiba, Toshinao - In: Monetary and economic studies 20 (2002) 1, pp. 57-85
Persistent link: https://www.econbiz.de/10001636734
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Comparative analyses of expected shortfall and value-at-risk, [Pt. 1]: their estimation error, decomposition, and optimization
Yamai, Yasuhiro; Yoshiba, Toshinao - In: Monetary and economic studies 20 (2002) 1, pp. 87-121
Persistent link: https://www.econbiz.de/10001636735
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Value-at-risk versus expected shortfall : a practical perspective
Yamai, Yasuhiro; Yoshiba, Toshinao - In: Journal of banking & finance 29 (2005) 4, pp. 997-1015
Persistent link: https://www.econbiz.de/10002601150
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Risk aggregation by a copula with a stressed condition
Yoshiba, Toshinao - 2013
Persistent link: https://www.econbiz.de/10010189914
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Risk aggregation with copula for banking industry
Yoshiba, Toshinao - 2015
Persistent link: https://www.econbiz.de/10011375924