Peter Antal

Swiss Reinsurance Company

Mythenquai 50/60

P.O. Box

CH-8022 Zurich

Switzerland

SCHOLARLY PAPERS

1

DOWNLOADS

149

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (1)

1.

Value-at-Risk vs. Expected Shortfall: Beware of the Aggregation Currency!

Number of pages: 8 Posted: 22 May 2014
Peter Antal and Pablo Koch-Medina
Swiss Reinsurance Company and University of Zurich - Department of Banking and Finance
Downloads 149 (206,719)

Abstract:

Loading...

risk measures, Value-at-Risk, expected shortfall, exchange rates, capital adequacy