Analysing perceived downside risk: The component value-at-risk framework

European Financial Management

Volumn 10, Issue 4, 2004, Pages 567-591

  Hallerbach, Winfried G ^a   Menkveld, Albert J ^b  

^a ERASMUS UNIVERSITY ROTTERDAM   (Netherlands)

^b VU UNIVERSITY AMSTERDAM   (Netherlands)

Author keywords

Factor models; G1; G14; G3; G32; Risk decomposition; Value at Risk

Indexed keywords

EID: 85016692590     PISSN: 13547798     EISSN: 1468036X     Source Type: Journal    
DOI: 10.1111/j.1354-7798.2004.00266.x     Document Type: Article

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