Showing 1 - 6 of 6
Persistent link: https://www.econbiz.de/10003879069
Persistent link: https://www.econbiz.de/10003933754
Persistent link: https://www.econbiz.de/10008779939
Persistent link: https://www.econbiz.de/10009710984
We have developed a regime switching framework to compute the Value at Risk and Expected Shortfall measures. Although Value at Risk as a risk measure has been criticized by some researchers for lack of subadditivity, it is still a central tool in banking regulations and internal risk management...
Persistent link: https://www.econbiz.de/10008466752
Persistent link: https://www.econbiz.de/10008527210