Scenario-based risk evaluation
Scenario-based risk evaluation
About this item
Full title
Author / Creator
Publisher
Berlin/Heidelberg: Springer Berlin Heidelberg
Journal title
Language
English
Formats
Publication information
Publisher
Berlin/Heidelberg: Springer Berlin Heidelberg
Subjects
More information
Scope and Contents
Contents
Risk measures such as expected shortfall (ES) and value-at-risk (VaR) have been prominent in banking regulation and financial risk management. Motivated by practical considerations in the assessment and management of risks, including tractability, scenario relevance and robustness, we consider theoretical properties of scenario-based risk evaluatio...
Alternative Titles
Full title
Scenario-based risk evaluation
Authors, Artists and Contributors
Author / Creator
Identifiers
Primary Identifiers
Record Identifier
TN_cdi_proquest_journals_2576855038
Permalink
https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_proquest_journals_2576855038
Other Identifiers
ISSN
0949-2984
E-ISSN
1432-1122
DOI
10.1007/s00780-021-00460-9
