Value-at-risk and expected shortfall using the unbiased extreme value volatility estimator

Value-at-risk and expected shortfall using the unbiased extreme value volatility estimator

Bibliographic Details
Main Authors: Dilip, Kumar, Srinivasan, Maheswaran
Format: text
Language:eng
Published: Emerald 2017
Subjects:
Risk management,Extreme value volatility estimator,Skewed Student t distribution,Stressed expected shortfall,Value-at-risk

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