Risk measures in finance revisited
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F10%3A10051862" target="_blank" >RIV/00216208:11320/10:10051862 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Risk measures in finance revisited
Original language description
Value at risk, conditional value at risk as well as selected more recent measures (quantile value at risk, spectral risk measure, and expectiles) are studied. A particular case of an asymmetric Laplace distribution is considered.
Czech name
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Czech description
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Classification
Type
O - Miscellaneous
CEP classification
BB - Applied statistics, operational research
OECD FORD branch
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Result continuities
Project
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Continuities
Z - Vyzkumny zamer (s odkazem do CEZ)
Others
Publication year
2010
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů