SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Value at risk and expected shortfall based on Gram-Charlier-like expansions · Study

ArticleShelves

ArticleValue at risk and expected shortfall based on Gram-Charlier-like expansions

Maria Grazia Zoia2018

OA

Articlegreen2018

Value at risk and expected shortfall based on Gram-Charlier-like expansions

Maria Grazia Zoia · Federica Nicolussi

31 citations·0/0 files stored·Journal of Banking & Finance

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Financial Risk and Volatility Modeling Risk and Portfolio Optimization Probability and Risk Models

Abstract

No abstract was published for this record.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 31 citations exist upstream.

References

1999Coherent Measures of Risk 1995Techniques for Verifying the Accuracy of Risk Measurement Models 2000Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach 2002On the coherence of expected shortfall 2002Convex measures of risk and trading constraints 1975Mean-Risk Analysis with Risk Associated with Below-Target Returns 1989Seminonparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications 2003Tail Conditional Expectations for Elliptical Distributions

Related works

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2018On Exactitude in Financial Regulation: Value-at-Risk, Expected Shortfall, and Expectilesarticle · 6 shared references 2016Multinomial VAR Backtests: A Simple Implicit Approach to Backtesting Expected Shortfallpreprint · 6 shared references 2013EXTREME VALUE THEORY IN FINANCE: A SURVEYarticle · 5 shared references 2008Can a Coherent Risk Measure Be Too Subadditive?article · 5 shared references 2014Summarizing Risk Using Risk Measures and Risk Indicesarticle · 5 shared references 2018Multinomial VaR backtests: A simple implicit approach to backtesting expected shortfallarticle · 5 shared references

Details

Year2018

Typearticle

Published2018-06-04

VenueJournal of Banking & Finance

ISSN-L0378-4266

Languageen

Citations31

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

Identifiers

doi10.1016/j.jbankfin.2018.06.001

openalex_workW2805761397

Links

Imported from OpenAlex (CC0) — nothing here is generated.