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Persistent link: https://www.econbiz.de/10009376296
The article aims to survey recent advancements in risk management field. First a popular quantile-based risk measure Value-at-Risk (VaR), nowadays widely used to asses exposure to market and credit risk, is presented. Four different approaches are introduced, implemented and backtested on PSE...
Persistent link: https://www.econbiz.de/10005036377