Extreme Value at Risk and Expected Shortfall during Financial Crisis

L. Kourouma, Denis Dupré (), O. Taramasco () and G. Sanfilippo ()
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L. Kourouma: CERAG - Centre d'études et de recherches appliquées à la gestion - UPMF - Université Pierre Mendès France - Grenoble 2 - CNRS - Centre National de la Recherche Scientifique
Denis Dupré: CERAG - Centre d'études et de recherches appliquées à la gestion - UPMF - Université Pierre Mendès France - Grenoble 2 - CNRS - Centre National de la Recherche Scientifique
O. Taramasco: CERAG - Centre d'études et de recherches appliquées à la gestion - UPMF - Université Pierre Mendès France - Grenoble 2 - CNRS - Centre National de la Recherche Scientifique
G. Sanfilippo: CERAG - Centre d'études et de recherches appliquées à la gestion - UPMF - Université Pierre Mendès France - Grenoble 2 - CNRS - Centre National de la Recherche Scientifique

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Keywords: Extreme Value at Risk; Expected Shortfall; Financial Crisis (search for similar items in EconPapers)
Date: 2011-04-13
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Citations: View citations in EconPapers (9)

Published in International Conference on Banking and Finance Perspectives, Apr 2011, Fmagusta,, Cyprus. 23 p

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-00650913

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