There is a VaR Beyond Usual Approximations
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References listed on IDEAS
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Cited by:
- repec:hal:journl:hal-00880258 is not listed on IDEAS
- Suzanne Emmer & Marie Kratz & Dirk Tasche, 2013. "What Is the Best Risk Measure in Practice? A Comparison of Standard Measures," Working Papers hal-00921283, HAL.
- Marie Kratz, 2013. "There is a VaR beyond usual approximations," Papers 1311.0270, arXiv.org.
- Susanne Emmer & Marie Kratz & Dirk Tasche, 2013. "What is the best risk measure in practice? A comparison of standard measures," Papers 1312.1645, arXiv.org, revised Apr 2015.
- repec:hal:journl:hal-00921283 is not listed on IDEAS
- Kratz , Marie, 2013. "There is a VaR Beyond Usual Approximations," ESSEC Working Papers WP1317, ESSEC Research Center, ESSEC Business School.
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More about this item
Keywords
Stable Distribution; Conditional (Pareto) Distribution; Conditional (Pareto) Moment; Convolution; Expected Short Fall; Extreme Values; Rate of Convergence; Financial Data; Aggregated risk; (generalized) Central Limit Theorem; (refined) Berry-Esséen Inequality; Order Statistics; Value-at-Risk; Market Risk; Pareto Distribution; Risk Measures; High Frequency Data;All these keywords.
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