On the Necessity of Five Risk Measures
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- Dominique Guegan & Wayne Tarrant, 2010. "On the necessity of five risk measures," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00460901, HAL.
- Dominique Guegan & Wayne Tarrant, 2010. "On the necessity of five risk measures," Documents de travail du Centre d'Economie de la Sorbonne 10005, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
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"Variance matters (in stochastic dividend discount models),"
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- AMARANTE, Massimiliano, 2013. "A Representation of Risk Measures," Cahiers de recherche 2013-08, Universite de Montreal, Departement de sciences economiques.
- Matthieu Garcin & Dominique Guegan & Bertrand Hassani, 2017. "A novel multivariate risk measure: the Kendall VaR," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01467857, HAL.
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- Marcelo Brutti Righi & Paulo Sergio Ceretta, 2015. "Shortfall Deviation Risk: An alternative to risk measurement," Papers 1501.02007, arXiv.org, revised May 2016.
- Matthieu Garcin & Dominique Guegan & Bertrand Hassani, 2017. "A novel multivariate risk measure: the Kendall VaR," Documents de travail du Centre d'Economie de la Sorbonne 17008, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
More about this item
KeywordsRisk measure; Value at Risk; Bank capital; Basel II Accord; Mesures de risque; VaR; capital bancaire; accord de Bâle II;
- C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Econometric and Statistical Methods; Specific Distributions
- G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2012-08-23 (All new papers)
- NEP-BAN-2012-08-23 (Banking)
- NEP-FMK-2012-08-23 (Financial Markets)
- NEP-RMG-2012-08-23 (Risk Management)
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