Complete mixability and asymptotic equivalence of worst-possible VaR and ES estimates (Q2015653)
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scientific article; zbMATH DE number 6306927
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| English | Complete mixability and asymptotic equivalence of worst-possible VaR and ES estimates |
scientific article; zbMATH DE number 6306927 |
Statements
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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0.85330594
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0.8492979
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0.84182876
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0.8406786
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0.83699626
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0.8342934
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0.83244514
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0.8323061
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0.8289886
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