Internal vs. External risk measures: how capital requirements differ in practice

DOI10.1016/j.orl.2010.05.003zbMath1202.91125OpenAlexW1968436996MaRDI QIDQ613362

Martin Eling, Luisa Tibiletti

Publication date: 20 December 2010

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.orl.2010.05.003

zbMATH Keywords

value-at-riskrobust statisticsrisk measurestail conditional expectationtail conditional median

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

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• Extensions of Stein's Lemma for the Skew-Normal Distribution