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

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Author Info
Yamai, Yasuhiro
Yoshiba, Toshinao
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File URL: http://www.sciencedirect.com/science/article/B6VCY-4DD8K6G-3/2/dca07739a88e6182bf7060c5e992b716
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Article provided by Elsevier in its journal Journal of Banking & Finance.

Volume (Year): 29 (2005)
Issue (Month): 4 (April)
Pages: 997-1015
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Handle: RePEc:eee:jbfina:v:29:y:2005:i:4:p:997-1015

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  1. Timotheos Angelidis & Stavros Degiannakis, 2007. "Backtesting VaR Models: An Expected Shortfall Approach," Working Papers 0701, University of Crete, Department of Economics. [Downloadable!]
  2. Ozun, Alper & Cifter, Atilla & Yilmazer, Sait, 2007. "Filtered Extreme Value Theory for Value-At-Risk Estimation," MPRA Paper 3302, University Library of Munich, Germany. [Downloadable!]
  3. José L. B. Fernandes & Augusto Hasman & Juan Ignacio Peña, 2006. "Risk Premium: Insights Over The Threshold," Working Papers Series 126, Central Bank of Brazil, Research Department. [Downloadable!]
  4. Georgios Tziralis & Konstantinos Kirytopoulos & Athanasios Rentizelas & Ilias Tatsiopoulos, 2009. "Holistic investment assessment: optimization, risk appraisal and decision making," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 30(6), pages 393-403. [Downloadable!]
  5. Jose L. B. Fernandes & Augusto Hasman & Juan Ignacio Peña, 2006. "Risk Premium: Insights Over The Threshold," Business Economics Working Papers wb062808, Universidad Carlos III, Departamento de Economía de la Empresa. [Downloadable!]
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