Wavelet based Filtered historical simulation in different time horizons in Tehran Stock Exchange
Expected Shortfall (ES) is the average return on a risky asset conditional on the return being below some quantile of its distribution, namely its Value-at-Risk (VaR). The Basel III Accord, which will be implemented in the years leading up to 2023, places new attention on ES, but unlike VaR, there i...
| Main Authors: | , , |
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| Format: | Article |
| Language: | fas |
| Published: |
Securities Exchange
2022-05-01
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| Series: | فصلنامه بورس اوراق بهادار |
| Subjects: | |
| Online Access: | https://journal.seo.ir/article_11259_adc438d9d1b0bcede5f8f4492f01fd19.pdf |