An evaluation and comparison of Value at Risk and Expected Shortfall
Tom Burdorf, Gary van Vuuren
| Year of publication: |
2018
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|---|---|
| Authors: | Burdorf, Tom ; Van Vuuren, Gary |
| Published in: |
Investment management and financial innovations. - Sumy : Publishing Company "Business Perspectives", ISSN 1810-4967, ZDB-ID 2467221-X. - Vol. 15.2018, 4, p. 17-34
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| Subject: | back-testing | Expected Shortfall | historical simulation | market risk | Monte Carlo | normality | South Africa | UK | Value at Risk | variance covariance | Risikomaß | Risk measure | Südafrika | Theorie | Theory | Simulation | Monte-Carlo-Simulation | Monte Carlo simulation | Portfolio-Management | Portfolio selection | Varianzanalyse | Analysis of variance | Risiko | Risk | ARCH-Modell | ARCH model | Risikomanagement | Risk management | Marktrisiko | Market risk | Volatilität | Volatility | Aktienindex | Stock index |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Notes: | Zusammenfassung in ukrainischer Sprache |
| Other identifiers: | 10.21511/imfi.15(4).2018.02 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012055643