Backtesting trading risk of commercial banks using expected shortfall

Journal of Banking and Finance

Volumn 32, Issue 7, 2008, Pages 1404-1415

  Wong, Woon K ^a  

^a CARDIFF UNIVERSITY   (United Kingdom)

Author keywords

Backtesting; Expected shortfall; Saddlepoint technique; Value at Risk

Indexed keywords

EID: 44149084721     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2007.11.012     Document Type: Article

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