On the validity of value-at-risk : comparative analyses with expected shortfall / Yasuhro Yamai and Toshinao Yoshiba Yamai, Yasuhiro; Yoshiba, Toshinao

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Authors
Yamai, Yasuhiro ; Yoshiba, Toshinao
Subjects
Risk management - Econometric models.; Value-at-risk - Expected shortfall - Tail risk - Sub-additivity.
Bookmark
http://trove.nla.gov.au/work/33552
Work ID
33552

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