A comparison of some univariate models for Value-at-Risk and Expected Shortfall

By Carlo Marinelli, Stefano d’Addona, Svetlozar T. Rachev. 2007

49 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/54d1bb0d54e9faffe322d34b5ed4392bf8f9831d

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Frank J Fabozzi 3
2. Svetlozar T. Rachev
3. Stoyan Stoyanov

In Finance

1. Frank J Fabozzi 3
2. Svetlozar T. Rachev
3. Stoyan Stoyanov
4. Boryana Racheva-Yotova
5. Michele Leonardo Bianchi
6. Young Shin Kim

Citations in the corpus

• Fat-Tailed Models for Risk Estimation (2011, methodology): “Following the financial crisis, different ideas for methodology improvements have been proffered in white papers such as Sheikh and Qiao (2009) and Dubikovsky et al.”