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Comparative Analyses of Expected Shortfall and Value-at-risk (2)
Language: en
Pages: 42

Comparative Analyses of Expected Shortfall and Value-at-risk (2)

Authors: Toshinao Yoshiba
Categories: Investment analysis
Type: BOOK - Published: 2001 - Publisher:

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Comparative Analyses of Expected Shortfall and Value-at-risk (3)
Language: en
Pages: 70

Comparative Analyses of Expected Shortfall and Value-at-risk (3)

Authors: Yasuhiro Yamai
Categories: Risk management
Type: BOOK - Published: 2002 - Publisher:

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On the Validity of Value-at-risk
Language: en
Pages: 46

On the Validity of Value-at-risk

Authors: Yasuhiro Yamai
Categories: Investment analysis
Type: BOOK - Published: 2001 - Publisher:

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Comparative Analyses of Expected Shortfall and VaR
Language: en
Pages: 56

Comparative Analyses of Expected Shortfall and VaR

Authors: Yasuhiro Yamai
Categories: Financial futures
Type: BOOK - Published: 2001 - Publisher:

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Expected shortfall is compared with Value-at-Risk (VaR) in three aspects: estimation errors, decomposition into risk factors, and optimization. Advantages and d
Comparative Analyses of Expected Shortfall and VaR.
Language: en
Pages: 29

Comparative Analyses of Expected Shortfall and VaR.

Authors: Yasuhiro Yamai
Categories:
Type: BOOK - Published: 2001 - Publisher:

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