Estimation Of Multiple Period Expected Shortfall And Median Shortfall For Risk Management

Publisher:
Routledge Journals, Taylor & Francis Ltd
Publication Type:
Journal Article
Citation:
Quantitative Finance, 2012, 12 (5), pp. 739 - 754
Issue Date:
2012-01
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With the regulatory requirements for risk management, Value at Risk (VaR) has become an essential tool in determining capital reserves to protect the risk induced by adverse market movements. The fact that VaR is not coherent has motivated the industry t
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