Susanne Emmer

ESSEC Business School

3 Avenue Bernard Hirsch

CS 50105 CERGY

CERGY, CERGY PONTOISE CEDEX 95021

France

  • ESSEC Business School

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What is the Best Risk Measure in Practice? A Comparison of Standard Measures

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Citation 53

What is the Best Risk Measure in Practice? A Comparison of Standard Measures

Journal of Risk 18(2), 31-60, 2015
Number of pages: 27 Posted: 21 Dec 2013 Last Revised: 13 Jul 2017
Susanne Emmer, Dirk Tasche and Marie Kratz
ESSEC Business School, Swiss Financial Market Supervisory Authority (FINMA) and ESSEC Business School - Information & Decision Sciences Department
Downloads 624 (59,967)
Citation 25

Abstract:

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Backtesting; Capital Allocation; Coherence; Diversification; Elicitability; Expected Shortfall; Expectile; Forecasts; Probability Integral Transform (PIT); Risk Measure; Risk Management; Robustnes; Value-at-Risk

What Is the Best Risk Measure in Practice? A Comparison of Standard Measures

Journal of Risk, Vol. 18, No. 2, 2015
Number of pages: 30 Posted: 25 Jun 2016
Susanne Emmer, Marie Kratz and Dirk Tasche
ESSEC Business School, ESSEC Business School, CREAR and Swiss Financial Market Supervisory Authority (FINMA)
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Citation 13
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Abstract:

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backtesting, capital allocation, coherence, diversification, conditional elicitability, risk measures