Title of article
Coherent risk measures under filtered historical simulation
Author/Authors
Kostas Giannopoulos، نويسنده , , Radu Tunaru، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2005
Pages
18
From page
979
To page
996
Keywords
Filtered historical simulation , Ordered statistics , Coherent measure , Spectral risk measure , Generalised extreme value distribution , expected shortfall
Journal title
Journal of Banking and Finance
Serial Year
2005
Journal title
Journal of Banking and Finance
Record number
193719
Link To Document