We compare capital requirements derived from tail conditional expectation (TCE) with those derived from the tail conditional median (TCM). In theory, TCE is higher than TCM for most distributions commonly used in finance and at fixed confidence levels; however, we find that in empirical data, there
โฆ LIBER โฆ
RISK MEASURES AND CAPITAL REQUIREMENTS FOR PROCESSES
โ Scribed by Marco Frittelli; Giacomo Scandolo
- Book ID
- 111043058
- Publisher
- John Wiley and Sons
- Year
- 2006
- Tongue
- English
- Weight
- 360 KB
- Volume
- 16
- Category
- Article
- ISSN
- 0960-1627
No coin nor oath required. For personal study only.
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