The use of flexible quantile-based measures in risk assessment
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- Jaume Belles-Sampera & Montserrat Guillén & Miguel Santolino, 2013. "“The use of flexible quantile-based measures in risk assessment”," IREA Working Papers 201323, University of Barcelona, Research Institute of Applied Economics, revised Dec 2013.
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More about this item
Keywordsquantiles; subadditivity; tails; risk management; Value-at-Risk;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-RMG-2015-02-28 (Risk Management)
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