Beyond VaR: Expected shortfall and other coherent risk measures

Research output: Chapter in Book/Report/Conference proceedingChapter

Original languageEnglish
Title of host publicationThe Risk Modeling Evaluation Handbook
EditorsG N Gregoriou, C Hoppe, C S Wehn
PublisherMcGrawHill
Pages289-303
Number of pages15
ISBN (Print)9780071663700
Publication statusPublished - 2010

Cite this

Krause, A. (2010). Beyond VaR: Expected shortfall and other coherent risk measures. In G. N. Gregoriou, C. Hoppe, & C. S. Wehn (Eds.), The Risk Modeling Evaluation Handbook (pp. 289-303). McGrawHill.

Beyond VaR: Expected shortfall and other coherent risk measures. / Krause, Andreas.

The Risk Modeling Evaluation Handbook. ed. / G N Gregoriou; C Hoppe; C S Wehn. McGrawHill, 2010. p. 289-303.

Research output: Chapter in Book/Report/Conference proceedingChapter

Krause, A 2010, Beyond VaR: Expected shortfall and other coherent risk measures. in GN Gregoriou, C Hoppe & CS Wehn (eds), The Risk Modeling Evaluation Handbook. McGrawHill, pp. 289-303.
Krause A. Beyond VaR: Expected shortfall and other coherent risk measures. In Gregoriou GN, Hoppe C, Wehn CS, editors, The Risk Modeling Evaluation Handbook. McGrawHill. 2010. p. 289-303
Krause, Andreas. / Beyond VaR: Expected shortfall and other coherent risk measures. The Risk Modeling Evaluation Handbook. editor / G N Gregoriou ; C Hoppe ; C S Wehn. McGrawHill, 2010. pp. 289-303
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