Examining the robustness of market risk models
Reviews Value at Risk (VaR) and Expexted Shortfall (ES), the current industry risk measures, and the usefullness of including Expectiles as a new measure of risk. Results can assist financial institutions, regulators, investors and researchers to gain insights on measuring risk. By acting prudently...
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| 格式: | Thesis |
| 語言: | English |
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