Viewing risk measures as information
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Other versions of this item:
- Dominique Guegan & Wayne Tarrant, 2011. "Viewing Risk Measures as information," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00639489, HAL.
- Dominique Guegan & Wayne Tarrant, 2012. "Viewing Risk Measures as information," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00721350, HAL.
References listed on IDEAS
- Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, March.
- Cyril Caillault, Dominique Guégan, 2009.
"Forecasting VaR and Expected Shortfall Using Dynamical Systems: A Risk Management Strategy,"
Frontiers in Finance and Economics, SKEMA Business School, vol. 6(1), pages 26-50, April.
- Cyril Caillault & Dominique Guegan, 2009. "Forecasting VaR and Expected Shortfall using Dynamical Systems: A Risk Management Strategy," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00375765, HAL.
- Yamai, Yasuhiro & Yoshiba, Toshinao, 2002. "Comparative Analyses of Expected Shortfall and Value-at-Risk (3): Their Validity under Market Stress," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 20(3), pages 181-237, October.
- Benoit Mandelbrot, 2015. "The Variation of Certain Speculative Prices," World Scientific Book Chapters, in: Anastasios G Malliaris & William T Ziemba (ed.),THE WORLD SCIENTIFIC HANDBOOK OF FUTURES MARKETS, chapter 3, pages 39-78, World Scientific Publishing Co. Pte. Ltd..
- Rockafellar, R. Tyrrell & Uryasev, Stanislav, 2002. "Conditional value-at-risk for general loss distributions," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1443-1471, July.
- René M. Stulz, 1996. "Rethinking Risk Management," Journal of Applied Corporate Finance, Morgan Stanley, vol. 9(3), pages 8-25, September.
More about this item
KeywordsRisk measure; Value at Risk; Bank capital;
- 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-BAN-2011-11-14 (Banking)
- NEP-REG-2011-11-14 (Regulation)
- NEP-RMG-2011-11-14 (Risk Management)
- NEP-UPT-2011-11-14 (Utility Models & Prospect Theory)
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