Przeglądanie wg słów kluczowych "Expected Shortfall"
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Przeglądanie wg słów kluczowych "Expected Shortfall"
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(2009-07-18)The main aim of this paper is the presentation and empirical analysis of the new approach which combines volatility models with Peaks over Threshold method that comes from extreme value theory. The new approach is applied ...
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(2009-07-18)Accurate modelling of risk is very important in finance. There are many alternative risk measures, however none of them is dominating. This paper proposes to use the family of Sign RCA models to obtain the Value-at-Risk ...
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