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• W2152591938 abstract "We describe characteristics of various risk measures (Value-at-Risk, Expected Shortfall, etc.) that are used to analyze and quantify the tail risk exposure, and discuss their relative strengths and weaknesses. Emphasis is placed on presenting and comparing methodologies to compute and backtest estimates for these risk measures, from a practical perspective. We also consider the regulators' requirements regarding tail risk measures, especially in the framework provided by the most recent accords of the Basel Committee on Banking Regulation, known as Basel II, 2.5, and III." @default.
• W2152591938 created "2016-06-24" @default.
• W2152591938 creator A5012748972 @default.
• W2152591938 date "2014-01-01" @default.
• W2152591938 modified "2023-09-25" @default.
• W2152591938 title "Robust and Practical Estimation for Measures of Tail Risk" @default.
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• W2152591938 doi "https://doi.org/10.2139/ssrn.2444381" @default.
• W2152591938 hasPublicationYear "2014" @default.
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