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Journal of Banking and Finance

Volumn 26, Issue 7, 2002, Pages 1519-1533

Expected shortfall and beyond

(1) Tasche, Dirk a

a DEUTSCHE BUNDESBANK (Germany)

Author keywords

Coherence; Expected shortfall; Risk contribution; Spectral risk measure; Value at risk

Indexed keywords

EID: 0036071510 PISSN: 03784266 EISSN: None Source Type: Journal
DOI: 10.1016/S0378-4266(02)00272-8 Document Type: Article

Times cited : (248)

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