Comparative analyses of expected shortfall and value-at-risk (3): their validity under market stress

Front Cover
Institute for Monetary and Economic Studies, Bank of Japan, 2002 - Business & Economics - 70 pages
0 Reviews

From inside the book

What people are saying - Write a review

We haven't found any reviews in the usual places.

Contents

Introduction
1
Tail Risk of VaR and Expected Shortfall
3
Multivariate Extreme Value Theory
7

5 other sections not shown

Common terms and phrases

Bibliographic information