Fuzzy value-at-risk and expected shortfall for portfolios with heavy-tailed returns
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Dobrislav Dobrev∗ & Travis D. Nesmith & Dong Hwan Oh, 2017.
"Accurate Evaluation of Expected Shortfall for Linear Portfolios with Elliptically Distributed Risk Factors,"
Journal of Risk and Financial Management,
MDPI, Open Access Journal, vol. 10(1), pages 1-14, February.
- Dobrev, Dobrislav & Nesmith, Travis D. & Oh, Dong Hwan, 2016. "Accurate Evaluation of Expected Shortfall for Linear Portfolios with Elliptically Distributed Risk Factors," Finance and Economics Discussion Series 2016-065, Board of Governors of the Federal Reserve System (US), revised 03 Feb 2017.
- Jaworski, Piotr & Liberadzki, Kamil & Liberadzki, Marcin, 2017. "How does issuing contingent convertible bonds improve bank's solvency? A Value-at-Risk and Expected Shortfall approach," Economic Modelling, Elsevier, vol. 60(C), pages 162-168.
More about this item
KeywordsRisk management; Value-at-risk; Expected shortfall; Fuzzy random variables; Heavy-tailed distributions;
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