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Comparative Analyses of Expected Shortfall and Value-at-Risk
Yamai, Yasuhiro; Yoshiba, Toshinao - In: Journal of the Operations Research Society of Japan : JORSJ 45 (2002) 4, pp. 506
Persistent link: https://www.econbiz.de/10006721579
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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. 997-1016
Persistent link: https://www.econbiz.de/10005879001
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Analytical solutions for the expected loss of a collateralized loan : a square root intensity process negatively correlated with collateral value
Yamashita, Satoshi; Yoshiba, Toshinao - In: The journal of credit risk : published quarterly by … 9 (2013) 2, pp. 27-44
Persistent link: https://www.econbiz.de/10010185497
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Market price analysis and risk management for convertible bonds
Ohtake, Fuminobu; Oda, Nobuyuki; Yoshiba, Toshinao - In: Monetary and economic studies 17 (1999) 2, pp. 47-89
Persistent link: https://www.econbiz.de/10009934943
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Model risk and its control
Kato, Toshiyasu; Yoshiba, Toshinao - In: Monetary and economic studies 18 (2000) 2, pp. 129-157
Persistent link: https://www.econbiz.de/10009934958
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A simplified method for calculating the credit risk of lending portfolios
Ieda, Akira; Marumo, Kohei; Yoshiba, Toshinao - In: Monetary and economic studies 18 (2000) 2, pp. 49-82
Persistent link: https://www.econbiz.de/10009934960
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Comparative analyses of expected shortfall and value-at-risk, [Pt. 1]: their estimation error, decomposition, and optimization /Yasuhiro Yamai and Toshinao Yoshiba
Yamai, Yasuhiro; Yoshiba, Toshinao - In: Monetary and economic studies 20 (2002) 1, pp. 87-121
Persistent link: https://www.econbiz.de/10009934999
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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/10009935000
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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/10009935004
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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/10009935008