The Assessment of Value-at-Risk and Expected Shortfall via a Bayesian approach
碩士 === 逢甲大學 === 統計與精算所 === 99 === As a renowned tool of risk measurement, Value-at-Risk is nonetheless criticized for not satisfying the property of diversi cation in nance. Alternatively, expected shortfall has been proposed to improve nancial risk measurement. This paper aims to show the perform...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2011
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| Online Access: | http://ndltd.ncl.edu.tw/handle/42291353033630702493 |