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Yasuhiro Yamai · Study

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Yasuhiro Yamai

6 works· latest 2004· 1 institutionscluster: provisional

h-index6

i106

Citations756

Works here6

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02

04

Most cited in this library

Value-at-risk versus expected shortfall: A practical perspective2004 · 334 citations
Comparative Analyses of Expected Shortfall and Value-at-Risk: Their Estimation Error, Decomposition, and Optimization2002 · 137 citations
On the Validity of Value-at-Risk: Comparative Analyses with Expected Shortfall2002 · 130 citations
Comparative Analyses of Expected Shortfall and Value-at-Risk (2): Expected Utility Maximization and Tail Risk2002 · 55 citations
Comparative Analyses of Expected Shortfall and Value-at-Risk (3): Their Validity under Market Stress2002 · 50 citations

Works

6 shown

Value-at-risk versus expected shortfall: A practical perspective

Journal of Banking & Finance·2004·2 authors

334citations

Comparative Analyses of Expected Shortfall and Value-at-Risk: Their Estimation Error, Decomposition, and Optimization

RePEc: Research Papers in Economics·2002·2 authors

137citations

On the Validity of Value-at-Risk: Comparative Analyses with Expected Shortfall

RePEc: Research Papers in Economics·2002·2 authors

130citations

Comparative Analyses of Expected Shortfall and Value-at-Risk (2): Expected Utility Maximization and Tail Risk

RePEc: Research Papers in Economics·2002·2 authors

55citations

Comparative Analyses of Expected Shortfall and Value-at-Risk (3): Their Validity under Market Stress

RePEc: Research Papers in Economics·2002·2 authors

50citations

Research Toward the Practical Application of Liquidity Risk Evaluation Methods

RePEc: Research Papers in Economics·2000·2 authors

50citations