78 citations · 78 across the 1 of their papers we have counts for
2 papers
q-fin.RM2013
What is the best risk measure in practice? A comparison of standard measures
Susanne Emmer, Marie Kratz, Dirk Tasche
Expected Shortfall (ES) has been widely accepted as a risk measure that is conceptually superior to Value-at-Risk (VaR). At the same time, however, it has been criticised for issue…
cond-mat.other2003★ 78 cited
Calculating credit risk capital charges with the one-factor model
Susanne Emmer, Dirk Tasche
Even in the simple one-factor credit portfolio model that underlies the Basel II regulatory capital rules coming into force in 2007, the exact contributions to credit value-at-risk…