Nguyen, Ngoc Quynh Anh; Nguyen, Thi Ngoc Trang - In: The Journal of Risk Finance 18 (2017) 1, pp. 76-87
beyond value-at-risk and expected shortfall. Finally, this paper highlights the importance of validating assumptions behind … distribution, the authors calculate value-at-risk and expected shortfall. As for the calculation of the entropic value-at-risk, it … study to consider the computation of entropic value-at-risk, semivariance as well as expectile risk measure using Fourier …