Search Results - "Expected Shortfall"

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  1. 1
    An empirical analysis of Value at Risk and Expected Shortfall in CDS and Equity markets

    An empirical analysis of Value at Risk and Expected Shortfall in CDS and Equity markets by Chen, Hsiao-Ling

    Published 2016
    Subjects: Get full text
  2. 2
    Estimation of tail risk based on extreme expectiles

    Estimation of tail risk based on extreme expectiles by Daouia, Abdelaati, Girard, Stéphane, Stupfler, Gilles

    Published 2017
    Subjects: “…Asymmetric squared loss; Coherency; Expectiles; Extrapolation; Extreme values; Heavy tails; Marginal expected shortfall; Value at Risk…”
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  3. 3
    Structuring an optimal portfolio from the Private Bank perspective and measuring the market risk using "Value-at-Risk" Methodology

    Structuring an optimal portfolio from the Private Bank perspective and measuring the market risk using "Value-at-Risk" Methodology by Wong, Max Yuen Kuan

    Published 2008
    Subjects: Get full text

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