Estimating value-at-risk and expected shortfall using the intraday low and range data
Value-at-Risk (VaR) is a popular measure of market risk. To convey information regarding potential exceedances beyond the VaR, Expected Shortfall (ES) has become the risk measure for trading book bank regulation. However, the estimation of VaR and ES is challenging, as it requires the estimation of...
| Main Authors: | , |
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| פורמט: | Journal article |
| שפה: | English |
| יצא לאור: |
Elsevier
2019
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