Risk Measures At Risk- Are we missing the point? Discussions around sub-additivity and distortion
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References listed on IDEAS
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Cited by:
- Dominique Guegan & Bertrand Hassani, 2016. "More Accurate Measurement for Enhanced Controls: VaR vs ES?," Post-Print halshs-01281940, HAL.
- Dominique Guegan & Bertrand K. Hassani & Kehan Li, 2016. "Measuring risks in the extreme tail: The extreme VaR and its confidence interval," Documents de travail du Centre d'Economie de la Sorbonne 16034rr, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Jan 2017.
- Dominique Guegan & Bertrand Hassani & Kehan Li, 2017. "Measuring risks in the extreme tail: The extreme VaR and its confidence interval," Post-Print halshs-01317391, HAL.
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More about this item
Keywords
Spectral measure; Distortion; Risk measures; Sub-additivity; Level of confidence; Distributions; Financial regulation;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-RMG-2016-06-04 (Risk Management)
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