مرکز منطقه ای اطلاع رساني علوم و فناوري - Extreme spectral risk measures: An application to futures clearinghouse margin requirements

Title of article :

Extreme spectral risk measures: An application to futures clearinghouse margin requirements

Author/Authors :

John Cotter، نويسنده , , Kevin Dowd، نويسنده ,

Issue Information :

روزنامه با شماره پیاپی سال 2006

Pages :

From page :

3469

To page :

3485

Keywords :

Spectral risk measures , Expected shortfall , value at risk , Extreme value , clearing

Journal title :

Journal of Banking and Finance

Serial Year :

2006

Journal title :

Journal of Banking and Finance

Record number :

193965

Link To Document :