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15-056/III - A Stochastic Dominance Approach to the Basel III Dilemma: Expected Shortfall or VaR?

  • Authors
    Chia-Lin Chang, National Chung Hsing University, Taichung, Taiwan; Juan-Ángel Jiménez-Martín, Complutense University of Madrid, Spain; Esfandiar Maasoumi, Emory University, United States; Michael McAleer, National Tsing Hua University, Taiwan, Erasmus University Rotterdam, the Netherlands, Complutense University of Madrid, Spain; Teodosio Pérez-Amaral, Complutense University of Madrid, Spain
  • Publication date
    May 18, 2015
  • Keywords
    Stochastic dominance, Value-at-Risk, Expected Shortfall, Optimizing strategy, Basel III Accord
  • JEL
    C53, C22, G32, G11, G17,