Question
Calculate the 95% Expected Shortfall in each market. Hint: note that columns H and I identify the exceptions in each market, the observations with greater
Calculate the 95% Expected Shortfall in each market. Hint: note that columns H and I identify the exceptions in each market, the observations with greater losses than VaR. Expected Shortfall Fiscalia (percentage): Expected Shortfall Monetaria (percentage):
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Property Finance
Authors: Giacomo Morri, Antonio Mazza
1st Edition
1118764404, 978-1118764404
