New Ways to Measure Catastrophic Financial Risks: “<i>VaR</i> to the power of <i> t</i>” Measures and How to Calculate Them
The work introduces a family of new risk measures, “VaR to the power of t”. The aim of the work is to study the properties of this family of measures and to derive formulas to calculate them. The study used methods for assessing financial risks by risk measures VaR and ES. As a result, the author pr...
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| Format: | Article |
| Language: | Russian |
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Government of the Russian Federation, Financial University
2020-06-01
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| Series: | Финансы: теория и практика |
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| Online Access: | https://financetp.fa.ru/jour/article/view/1012 |