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What do you know about extreme value theory? What is Expected Shortfall? How is it calculated? Why is it considered better than VaR? What are
- What do you know about extreme value theory?
- What is Expected Shortfall? How is it calculated? Why is it considered better than VaR? What are the disadvantages?
- What are the strengths and weaknesses of historical simulation, Monte-Carlo simulation, & Variance-Covariance method VaR calculation?
- What is expected shortfall?
- What is incremental default risk?
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