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.