Quantifying market risk with Value-at-Risk or Expected Shortfall? – Consequences for capital requirements and model risk
Kellner, Ralf, Rösch, DanielVolume:
68
Language:
english
Journal:
Journal of Economic Dynamics and Control
DOI:
10.1016/j.jedc.2016.05.002
Date:
July, 2016
File:
PDF, 2.18 MB
english, 2016