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A Theory for Measures of Tail Risk - MaRDI portal

A Theory for Measures of Tail Risk (Q4958558)

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scientific article; zbMATH DE number 7395113
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A Theory for Measures of Tail Risk
scientific article; zbMATH DE number 7395113

    Statements

    title
    A Theory for Measures of Tail Risk (English)
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    author
    Fangda Liu
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    Ruodu Wang
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    publication date
    14 September 2021
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    zbMATH Keywords
    Basel III
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    tail risk
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    risk aggregation
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    elicitability
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    value at risk
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    cites work
    Stochastic Finance
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    Q3526970
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    Q3523756
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    Q4552656
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    Q5253267
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    Stochastic orders
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    Identifiers

    zbMATH DE Number
    7395113
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    OpenAlex ID
    W3125265748
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