Extreme Value at Risk and Expected Shortfall during Financial Crisis
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- Juan Carlos Escanciano & Zaichao Du, 2015. "Backtesting Expected Shortfall: Accounting for Tail Risk," Caepr Working Papers 2015-001, Center for Applied Economics and Policy Research, Economics Department, Indiana University Bloomington.
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KeywordsMarket risk; Value at Risk; EVT; GARCH; Financial crisis; Basel requirements;
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