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Exploring the Limitations of Value at Risk: How Good Is It in Practice?

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References

1999Coherent Measures of Risk8,849 cited
1981Principles of Corporate Finance.3,634 cited
1996Monetary and economic studies364 cited
1996Risk 2 : Measuring the Risk in Value at Risk349 cited
2002The emperor has no clothes: Limits to risk modelling323 cited
2001Expected Shortfall as a Tool for Financial Risk Management162 cited
2002Comparative Analyses of Expected Shortfall and Value-at-Risk: Their Estimation Error, Decomposition, and Optimization137 cited
1999Optimal Risk Management Using Options128 cited
1998Using value-at-risk to control risk taking: how wrong can you be?108 cited

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2018A mean-maverick game cross-efficiency approach to portfolio selection: An application to Paris stock exchange43 cited
2021Can Fiat‐backed Stablecoins Be Considered Cash or Cash Equivalents Under International Financial Reporting Standards Rules?18 cited

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