Estimating expected shortfall using an unconditional peaks-over-threshold method under an extreme value approach
Value-at-Risk (VaR) has long been the standard risk measure in financial risk management. However, VaR suffers from critical shortcomings as a risk measure when it comes to quantifying the most severe risks, which was made especially apparent during the financial crisis of 2007–2008. An alternative...
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| Format: | Others |
| Language: | English |
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Uppsala universitet, Statistiska institutionen
2021
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| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-445122 |