Complete mixability and asymptotic equivalence of worst-possible VaR and ES estimates (Q2015653)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Complete mixability and asymptotic equivalence of worst-possible VaR and ES estimates |
scientific article |
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Complete mixability and asymptotic equivalence of worst-possible VaR and ES estimates (English)
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23 June 2014
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complete mixability
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worst-dependence scenarios
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value-at-risk
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expected shortfall
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Basel III
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