Choosing expected shortfall over VaR in Basel III using stochastic dominance

  1. Chang, C.-L.
  2. Jimenez-Martin, J.-A.
  3. Maasoumi, E.
  4. McAleer, M.
  5. Pérez-Amaral, T.
Revue:
International Review of Economics and Finance

ISSN: 1059-0560

Année de publication: 2019

Volumen: 60

Pages: 95-113

Type: Article

DOI: 10.1016/J.IREF.2018.12.016 GOOGLE SCHOLAR
La source de données: Scopus