Beyond VaR: Expected shortfall and other coherent risk measures
Reference:
Krause, A., 2010. Beyond VaR: Expected shortfall and other coherent risk measures. In: Gregoriou, G. N., Hoppe, C. and Wehn, C. S., eds. The Risk Modeling Evaluation Handbook. McGrawHill, pp. 289-303.
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Details
| Item Type | Book Sections |
| Creators | Krause, A. |
| Editors | Gregoriou, G. N., Hoppe, C. and Wehn, C. S. |
| Departments | School of Management |
| Research Centres | Centre for Mathematical Biology |
| Status | Published |
| ID Code | 26845 |
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