Quantifying market risk with value-at-risk or expected shortfall? -- Consequences for capital requirements and model risk
type: Item
instance of: scholarly article
title: Quantifying market risk with value-at-risk or expected shortfall? -- Consequences for capital requirements and model risk
zbMATH Open document ID: 1401.91154
author: Ralf Kellner
author: Daniel Rösch
publication date: 2018-08-10T00:00:00Z
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 62P05
zbMATH DE Number: 6916465
zbMATH Keywords: model risk
zbMATH Keywords: capital requirements
zbMATH Keywords: value-at-risk
zbMATH Keywords: expected shortfall
describes a project that uses: QRM
MaRDI profile type: Publication
full work available at URL: j.jedc.2016.05.002
OpenAlex ID: W2359697135
cites work: The use of GARCH models in VaR estimation
cites work: Coherent measures of risk
cites work: Generalized autoregressive conditional heteroscedasticity
cites work: Risk management with high-dimensional vine copulas: an analysis of the Euro Stoxx 50
cites work: Robustness and sensitivity analysis of risk measurement procedures
cites work: Aggregation-robustness and model uncertainty of regulatory risk measures
cites work: Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
cites work: Robust risk management
cites work: Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach
cites work: Making and Evaluating Point Forecasts
cites work: Improving the value at risk forecasts: theory and evidence from the financial crisis
cites work: Estimating Quantile Sensitivities
cites work: Simulating Sensitivities of Conditional Value at Risk
cites work: External Risk Measures and Basel Accords
cites work: Q5253267
cites work: Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall
cites work: Sensitivity of portfolio VaR and CVaR to portfolio return characteristics
cites work: Q5077796
cites work: Regulatory arbitrage of risk measures
cites work: Worst-Case Conditional Value-at-Risk with Application to Robust Portfolio Management
DOI: 10.1016/J.JEDC.2016.05.002
published in: Journal of Economic Dynamics and Control
description: scientific article; zbMATH DE number 6916465