Quantifying market risk with Value-at-Risk or Expected Shortfall? – Consequences for capital requirements and model risk-Reference-Cited by-同舟云学术

Quantifying market risk with Value-at-Risk or Expected Shortfall? – Consequences for capital requirements and model risk

Published:2016-07 Issue: Volume:68 Page:45-63
ISSN:0165-1889
Container-title:Journal of Economic Dynamics and Control
language:en
Short-container-title:Journal of Economic Dynamics and Control

Author:

Kellner Ralf,Rösch Daniel

Publisher

Elsevier BV

Subject

Applied Mathematics,Control and Optimization,Economics and Econometrics

Reference35 articles.

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