Value-At-Risk and Expected Shortfall for Linear Portfolios With Elliptically Distributed Risk Factors

International Journal of Theoretical and Applied Finance - Singapore
doi 10.1142/s0219024905003104
Full Text
Abstract

Available in full text

Date
Authors
Publisher

World Scientific Pub Co Pte Lt

Related search

A Fast, Accurate Method for Value at Risk and Expected Shortfall

SSRN Electronic Journal
2014English

Analytical Value-At-Risk and Expected Shortfall Under Regime-Switching

Finance Research Letters
Finance
2009English

On Exactitude in Financial Regulation: Value-At-Risk, Expected Shortfall, and Expectiles

SSRN Electronic Journal
2018English

Testes Para Avaliação Das Previsões De Value-At-Risk E Expected Shortfall

Brazilian Review of Finance
2019English

Value at Risk Models for Dutch Bond Portfolios

Journal of Banking and Finance
EconomicsEconometricsFinance
2000English

Efficient VAR and Expected Shortfall Computations for Non-Linear Portfolios Within the Delta-Gamma Approach

SSRN Electronic Journal
2013English

Bootstrapping the Expected Shortfall

Theoretical Economics Letters
2018English

Time Series Modeling for Risk of Stock Price With Value at Risk Computation

Applied Mathematical Sciences
2015English

Incorporating Event Risk Into Value-At-Risk

Finance and Economics Discussion Series
2001English

Amanote Research

Note-taking for researchers

Follow Amanote

© 2024 Amaplex Software S.P.R.L. All rights reserved.

Privacy PolicyRefund Policy