Question
Value at Risk and Expected Shortfall The calculation of value at risk can be approached in a parametric, historical simulation, or monte-carlo simulation. Why it
Value at Risk and Expected Shortfall
The calculation of value at risk can be approached in a parametric, historical simulation, or monte-carlo simulation. Why it is necessary for risk manager to calculate VaR? Explain why in its development, Basel begin to shift its methods of market and credit risk calculation into ES or Conditional VaR?
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Investments Analysis And Management
Authors: Charles Jones, Nick Jones
11th Edition
0470477121, 9780470477120
