Calacualting Value at Risk and Expected Shortfall of Some Statistical Distributions

Value at risk and expected shortfall are the two most popular measures for calculating financial risk. To calculate these measures (Value at risk and expected shortfall) there are many approaches, which can be divided into two main categories; parametric and non-parametric. In parametric approach it...

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Κύριοι συγγραφείς:	Rasool Roozegar, Bahaeddin Soufi, Hamid Reza Taherizadeh
Μορφή:	Artigo
Γλώσσα:	Persa
Έκδοση:	Ayandegan Institute of Higher Education, Tonekabon, 2018-05-01
Σειρά:	تصمیم گیری و تحقیق در عملیات
Θέματα:	value at risk expected shortfall parametric method
Διαθέσιμο Online:	https://www.journal-dmor.ir/article_64783_cec0671763f47c8faedad938d199ad48.pdf
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