Question
The difference between the VaR and historical CVaR is very huge and the worst drawdown exceeds the VaR estimate 432 times in a period of
The difference between the VaR and historical CVaR is very huge and the worst drawdown exceeds the VaR estimate 432 times in a period of 10 years. What are the impacts to the risk management decision making?
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Answer A large discrepancy between VaR and historical CVaR with the worst drawdown exceeding the VaR ...
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Financial Algebra advanced algebra with financial applications
Authors: Robert K. Gerver
1st edition
978-1285444857, 128544485X, 978-0357229101, 035722910X, 978-0538449670
