Comparative Analyses Of Expected Shortfall And Var
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Comparative Analyses Of Expected Shortfall And Var
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Author : Yasuhiro Yamai
language : en
Publisher:
Release Date : 2002
Comparative Analyses Of Expected Shortfall And Var written by Yasuhiro Yamai and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002 with categories.
Comparative Analyses Of Expected Shortfall And Var
DOWNLOAD
Author : Yasuhiro Yamai
language : en
Publisher:
Release Date : 2001
Comparative Analyses Of Expected Shortfall And Var written by Yasuhiro Yamai and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with categories.
Comparative Analyses Of Expected Shortfall And Value At Risk 3
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Author : Yasuhiro Yamai
language : en
Publisher:
Release Date : 2002
Comparative Analyses Of Expected Shortfall And Value At Risk 3 written by Yasuhiro Yamai and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002 with Financial futures categories.
Comparative Analyses Of Expected Shortfall And Var
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Author : Yasuhiro Yamai
language : en
Publisher:
Release Date : 2001
Comparative Analyses Of Expected Shortfall And Var written by Yasuhiro Yamai and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with Financial futures categories.
Expected shortfall is compared with Value-at-Risk (VaR) in three aspects: estimation errors, decomposition into risk factors, and optimization. Advantages and disadvantages of expected shortfall over VaR are shown, and that expected shortfall is easily decomposed (needing a larger size of sample than VaR for the same level of accuracy) and optimized, while VaR is not.
Comparative Analyses Of Expected Shortfall And Value At Risk 2
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Author : Toshinao Yoshiba
language : en
Publisher:
Release Date : 2001
Comparative Analyses Of Expected Shortfall And Value At Risk 2 written by Toshinao Yoshiba and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with Investment analysis categories.
On The Validity Of Value At Risk
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Author : Yasuhiro Yamai
language : en
Publisher:
Release Date : 2001
On The Validity Of Value At Risk written by Yasuhiro Yamai and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with Investment analysis categories.
Choosing Expected Shortfall Over Var In Basel Iii Using Stochastic Dominance
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Author : Chia-Lin Chang
language : en
Publisher:
Release Date : 2015
Choosing Expected Shortfall Over Var In Basel Iii Using Stochastic Dominance written by Chia-Lin Chang and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with categories.
Backtesting Value At Risk And Expected Shortfall
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Author : Simona Roccioletti
language : en
Publisher: Springer
Release Date : 2015-12-04
Backtesting Value At Risk And Expected Shortfall written by Simona Roccioletti and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-12-04 with Business & Economics categories.
In this book Simona Roccioletti reviews several valuable studies about risk measures and their properties; in particular she studies the new (and heavily discussed) property of "Elicitability" of a risk measure. More important, she investigates the issue related to the backtesting of Expected Shortfall. The main contribution of the work is the application of "Test 1" and "Test 2" developed by Acerbi and Szekely (2014) on different models and for five global market indexes.
Sample Size Skewness And Leverage Effects In Value At Risk And Expected Shortfall Estimation
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Author : Laura García Jorcano
language : en
Publisher: Ed. Universidad de Cantabria
Release Date : 2020-02-24
Sample Size Skewness And Leverage Effects In Value At Risk And Expected Shortfall Estimation written by Laura García Jorcano and has been published by Ed. Universidad de Cantabria this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-02-24 with Business & Economics categories.
The thesis analyzes the effect that the sample size, the asymmetry in the distribution of returns and the leverage in their volatility have on the estimation and forecasting of market risk in financial assets. The goal is to compare the performance of a variety of models for the estimation and forecasting of Value at Risk (VaR) and Expected Shortfall (ES) for a set of assets of different nature: market indexes, individual stocks, bonds, exchange rates, and commodities. The three chapters of the thesis address issues of greatest interest for the measurement of risk in financial institutions and, therefore, for the supervision of risks in the financial system. They deal with technical issues related to the implementation of the Basel Committee's guidelines on some aspects of which very little is known in the academic world and in the specialized financial sector. In the first chapter, a numerical correction is proposed on the values usually estimatedwhen there is little statistical information, either because it is a financial asset (bond, investment fund...) recently created or issued, or because the nature or the structure of the asset or portfolio have recently changed. The second chapter analyzes the relevance of different aspects of risk modeling. The third and last chapter provides a characterization of the preferable methodology to comply with Basel requirements related to the backtesting of the Expected Shortfall.
Managing Energy Price Risk Using Futures Contracts
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Author : Jim Hanly
language : en
Publisher:
Release Date : 2016
Managing Energy Price Risk Using Futures Contracts written by Jim Hanly and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016 with categories.
This paper carries out a comparative analysis of managing energy risk through futures hedging, for energy market participants across a broad dataset that encompasses the largest and most actively traded energy products. Uniquely, we carry out a hedge comparison using a variety of risk measures including Variance, Value at risk (VaR), and Expected Shortfall as well as a utility based performance metric for two different investor horizons; weekly and monthly. We find that hedging is effective across the spectrum of risk measures we employ. We also find significant differences in both the hedging strategies and the hedging effectiveness of different energy assets. Better performance is found for West Texas Intermediate Oil and Heating Oil while the poorest performer in hedging terms is Natural Gas.