Showing 1 - 10 of 158
Persistent link: https://www.econbiz.de/10003829798
Persistent link: https://www.econbiz.de/10003877954
Since Value-at-Risk (VaR) disregards tail losses beyond the VaR boundary, the expected shortfall (ES), which measures the average loss when a VaR is exceeded, and the tail-risk-of-VaR (TR), which sums the sizes of tail losses, are used to investigate risks at the tails of distributions for major...
Persistent link: https://www.econbiz.de/10014214934
Persistent link: https://www.econbiz.de/10001782290
Persistent link: https://www.econbiz.de/10003883137
Persistent link: https://www.econbiz.de/10003975381
Persistent link: https://www.econbiz.de/10003993020
Persistent link: https://www.econbiz.de/10003391916
Persistent link: https://www.econbiz.de/10003529812
Persistent link: https://www.econbiz.de/10009507859