Value-at-risk versus expected shortfall: A practical perspective

Journal of Banking and Finance

Volumn 29, Issue 4, 2005, Pages 997-1015

  Yamai, Yasuhiro ^a   Yoshiba, Toshinao ^a  

^a Inst for Monetary Economic Studies   (Japan)

Author keywords

Expected shortfall; Extreme value theory; Tail risk; Value at risk

Indexed keywords

EID: 12444319419     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2004.08.010     Document Type: Article

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