✦ LIBER ✦

Value at Risk and Expected Shortfall for large portfolios

✍ Scribed by Carl Lönnbark; Ulf Holmberg; Kurt Brännäs

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Value-at-risk versus expected shortfall:

✍ Yasuhiro Yamai; Toshinao Yoshiba 📂 Article 📅 2005 🏛 Elsevier Science 🌐 English ⚖ 289 KB

Analytical Value-at-Risk and Expected Sh

✍ Abderrahim Taamouti 📂 Article 📅 2009 🏛 Elsevier Science 🌐 English ⚖ 337 KB

Expected Shortfall: A Natural Coherent A

✍ Carlo Acerbi; Dirk Tasche 📂 Article 📅 2002 🏛 John Wiley and Sons 🌐 English ⚖ 91 KB

THE EXPECTED SHORTFALL OF QUADRATIC PORT

✍ Simon A. Broda 📂 Article 📅 2011 🏛 John Wiley and Sons 🌐 English ⚖ 200 KB

Bayesian Value-at-Risk and expected shor

✍ Qian Chen; Richard Gerlach; Zudi Lu 📂 Article 📅 2012 🏛 Elsevier Science 🌐 English ⚖ 610 KB

Sensitivity analysis of VaR and Expected

✍ Jean-David Fermanian; Olivier Scaillet 📂 Article 📅 2005 🏛 Elsevier Science 🌐 English ⚖ 428 KB