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Conditional tail behaviour and Value at Risk 

Authors: Fabio Bellini a; Gianna Figagrave-talamanca b
Affiliations:   a University of Milano-Bicocca, Piazza Ateneo Nuovo 1, 20126 Milan, Italy
b University of Perugia, via Pascoli 20, 06123 Perugia, Italy
DOI: 10.1080/14697680601155516
Publication Frequency: 8 issues per year
Published in: journal Quantitative Finance, Volume 7, Issue 6 December 2007 , pages 599 - 607
Formats available: HTML (English) : PDF (English)

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