Measuring risks in the tail: The extreme VaR and its confidence interval (Q3119654)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Measuring risks in the tail: The extreme VaR and its confidence interval |
scientific article |
Statements
Measuring risks in the tail: The extreme VaR and its confidence interval (English)
0 references
12 March 2019
0 references
regulation
0 references
extreme risk
0 references
extreme Value-at-Risk
0 references
confidence interval
0 references
asymptotic theory
0 references
stress testing
0 references
