• Graduate program
  • Research
  • News
  • Events
    • Summer School
      • Climate Change
      • Gender in Society
      • Inequalities in Health and Healthcare
      • Business Data Science Summer School Program
      • Receive updates
    • Events Calendar
    • Events Archive
    • Tinbergen Institute Lectures
    • Conference: Consumer Search and Markets
    • Annual Tinbergen Institute Conference
  • Summer School
    • Climate Change
    • Gender in Society
    • Inequalities in Health and Healthcare
    • Business Data Science Summer School Program
    • Receive updates
  • Alumni
  • Magazine

15-133/III - Choosing Expected Shortfall over VaR in Basel III Using Stochastic Dominance

  • Authors
    Chia-Lin Chang, National Chung Hsing University, Taichung, Taiwan; Juan-Ángel Jiménez-Martín, Complutense University of Madrid, Spain; Esfandiar Maasoumi, Emory University, USA; Michel McAleer, National TsingHua University, Taiwan; Erasmus School of Economics, Erasmus University Rotterdam, and Tinbergen Institute, the Netherlands; Complutense University of Madrid, Spain; Teodosio Pérez-Amaral, Complutense University of Madrid, Spain
  • Publication date
    December 15, 2015
  • Keywords
    Stochastic dominance, Value-at-Risk, Expected Shortfall, Optimizing strategy, Basel III Accord
  • JEL
    G32, G11, G17, C53, C22
Download here