Mã tài liệu: 293550
Số trang: 37
Định dạng: pdf
Dung lượng file: 441 Kb
Chuyên mục: Tổng hợp
1. mathematical theory
1.1. expected shortfall
1.2. generalized pareto distribution
1.3. method of Block maxima
1.4. historical approach
2. coherence and Var
2.1. academic example
2.2. practical example
2.3. exploring the tail
3. equity portfolios
3.1. one risk factor
3.2. two risk factor
4. currency and fixed income portfolios: multiple risk factors
4.1. currency portfolios
4.2. fixed income portfolios
5. mixed multiple risk factor portfolio
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An application of Alternative Risk Measures to Trading Portfolios
1. mathematical theory 1.1. expected shortfall 1.2. generalized pareto distribution 1.3. method of Block maxima 1.4. historical approach 2. coherence and Var 2.1. academic example 2.2. practical example 2.3. exploring the tail 3. equity portfolios
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