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Market Risk Measurement Techniques by thutrangoned is a document available to read on EtoBox.
What is Market Risk Measurement Techniques about?
This document discusses quantitative risk management and estimating market risk measures. It covers estimating Value at Risk (VaR) using historical simulation and parametric approaches for normal and lognormal return distributions. It also discusses estimating expected shortfall and coherent risk measures. The document provides formulas and methods for estimating VaR, expected shortfall, and standard errors of risk measure estimators based on profit/loss data, return data types, and distributional assumptio
- Author
- thutrangoned
- Language
- EN