Expected shortfall - Document - PDFSEARCH.IO

First Page		Document Content
Date: 2003-11-28 10:19:57 Economics Mathematical sciences Mathematical finance Econometrics Time series analysis RiskMetrics Autoregressive conditional heteroskedasticity Value at risk Expected shortfall Financial risk Statistics Actuarial science		Add to Reading List Source URL: www.ecb.europa.eu Download Document from Source Website File Size: 497,08 KB Share Document on Facebook

	Value-at-Risk and Expected Shortfall for Quadratic Portfolio of Securities with Mixture of Elliptic Distributed Risk Factors Jules SADEFO KAMDEM ∗† Laboratoire de Math´ematiques CNRS UMR 6056 Universit´e De Reims DocID: 1uKtW - View Document
	EXAMINES DIFFERENT COMPUTATIONAL APPROACHES OF VALUE-AT-RISK (VAR) FOR BSE INDEX STOCKS OF SENSEX DocID: 1uBJz - View Document
	THE IMPLEMENTATION OF VALUE AT RISKBank of Israel Banking Review No), 61–87 61 THE IMPLEMENTATION OF VALUE AT RISK (VaR) IN ISRAEL’S BANKING SYSTEM BEN Z. SCHREIBER,* ZVI WIENER,** AND DAVID ZAKEN* DocID: 1rXjb - View Document
	European Finance Review 2: 189–193, 1999. © 1999 Kluwer Academic Publishers. Printed in the NetherlandsComment on ‘Non-Linear Value-at-Risk’ DocID: 1rPmj - View Document
	Proceedings of the International MultiConference of Engineers and Computer Scientists 2014 Vol II, IMECS 2014, March, 2014, Hong Kong Parallel Computation of Value at Risk using the Delta-Gamma Monte Carlo Approa DocID: 1rICE - View Document