Christoffersen, Peter; Gonçalves, Sílvia - Centre Interuniversitaire de Recherche en Analyse des … - 2004
Value-at-Risk (VaR) and Expected Shortfall (ES) are increasingly used in portfolio risk measurement, risk capital allocation and performance attribution. Financial risk managers are therefore rightfully concerned with the precision of typical VaR and ES techniques. The purpose of this paper is...