TY  - RPRT
AU  - Chang, Chia-Lin
AU  - Jiménez-Martín, Juan-Ángel
AU  - Maasoumi, Esfandiar
AU  - McAleer, Michael
AU  - Pérez-Amaral, Teodosio
PY  - 2015
SN  - 2341-2356
UR  - https://hdl.handle.net/20.500.14352/27532
AB  - The Basel Committee on Banking Supervision (BCBS) (2013) recently proposed shifting the quantitative risk metrics system from Value-at-Risk (VaR) to Expected Shortfall (ES). The BCBS (2013) noted that “a number of weaknesses have been identified with...
LA  - eng
KW  - Stochastic dominance
KW  - Value-at-Risk
KW  - Expected Shortfall
KW  - Optimizing strategy
KW  - Basel III Accord.
TI  - A Stochastic Dominance Approach to the Basel III Dilemma: Expected Shortfall or VaR?
TY  - technical report
VL  - 2015
ER  -