Work

Comparative Analyses of Expected Shortfall and Value-at-Risk (3): Their Validity under Market Stress

Year: 2002

Type: article

Source: RePEc: Research Papers in Economics

Authors: Yasuhiro Yamai, Toshinao Yoshiba

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

OpenAlex ID: W1563767941

FWCI: 2.737

Cites: 31

Cited by: 50

Related to: 10