𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Downside risk for short and long hedgers

✍ Scribed by Rıza Demirer; Donald Lien

Book ID
114344247
Publisher
Elsevier Science
Year
2003
Tongue
English
Weight
151 KB
Volume
12
Category
Article
ISSN
1059-0560

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Measuring downside risk and severity for
Measuring downside risk and severity for global output
✍ Yan Wang; Yudong Yao 📂 Article 📅 2007 🏛 John Wiley and Sons 🌐 English ⚖ 124 KB

## Abstract This paper attempts to provide a critical measure of downside risk and severity for global output by applying the Value at Risk approach to four country groups in the world as a ‘portfolio’. Global output downside risk, measured by global Growth at Risk (GaR), estimates the worst possib

Value-at-risk for long and short trading
Value-at-risk for long and short trading positions
✍ Pierre Giot; Sébastien Laurent 📂 Article 📅 2003 🏛 John Wiley and Sons 🌐 English ⚖ 231 KB

## Abstract In this paper we model Value‐at‐Risk (VaR) for daily asset returns using a collection of parametric univariate and multivariate models of the ARCH class based on the skewed Student distribution. We show that models that rely on a symmetric density distribution for the error term underpe