What is the Best Risk Measure in Practice? A Comparison of Standard Measures-Reference-Cited by-同舟云学术

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What is the Best Risk Measure in Practice? A Comparison of Standard Measures

Published:2013 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Emmer Suzanne,Kratz Marie,Tasche Dirk

Publisher

Elsevier BV

Reference65 articles.

1. Back-testing expected shortfall;C Acerbi;Risk,2014

2. On the coherence of expected shortfall;C Acerbi;Journal of Banking & Finance,2002

3. Comparing Density Forecasts via Weighted Likelihood Ratio Tests;G Amisano;Journal of Business and Economic Statistics,2007

4. Coherent measures of risks;P Artzner;Mathematical Finance,1999

5. Fundamental review of the trading book: A revised market risk framework. Basel Committee on Banking Supervision;BCBS,2013

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1. Forecasting extreme negative returns in gold and silver: A discrete‐duration approach to POT models;Applied Stochastic Models in Business and Industry;2023-04-03

2. The Lee-Carter quantile mortality model;Scandinavian Actuarial Journal;2020-01-02

3. A Review on Ambiguity in Stochastic Portfolio Optimization;Set-Valued and Variational Analysis;2017-11-09

4. Backtesting Extreme Value Theory Models of Expected Shortfall;SSRN Electronic Journal;2017

5. Quantifying market risk with Value-at-Risk or Expected Shortfall? – Consequences for capital requirements and model risk;Journal of Economic Dynamics and Control;2016-07

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