Sensitivity of Value at Risk estimation to NonNormality of returns and Market capitalization
Year of publication: |
2014-03-10
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Authors: | Sinha, Pankaj ; Agnihotri, Shalini |
Institutions: | Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München |
Subject: | Non-normality | market capitalization | Value at risk (VaR) | CVaR | GARCH |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Classification: | C51 - Model Construction and Estimation ; C52 - Model Evaluation and Testing ; c58 ; G01 - Financial Crises ; G20 - Financial Institutions and Services. General ; G22 - Insurance; Insurance Companies ; G24 - Investment Banking; Venture Capital; Brokerage ; G28 - Government Policy and Regulation |
Source: |
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