Historical risk measures on stock market indices and energy markets
AbstractIn this paper we look at the efficacy of different risk measures on energy markets and across several different stock market indices. We use both the Value at Risk and the Tail Conditional Expectation on each of these data sets. We also consider several different durations and levels for historical risk measures. Through our results we make some recommendations for a robust risk management strategy that involves historical risk measures.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1111.4421.
Date of creation: Nov 2011
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Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-11-28 (All new papers)
- NEP-ENE-2011-11-28 (Energy Economics)
- NEP-RMG-2011-11-28 (Risk Management)
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- Rockafellar, R. Tyrrell & Uryasev, Stanislav, 2002. "Conditional value-at-risk for general loss distributions," Journal of Banking & Finance, Elsevier, Elsevier, vol. 26(7), pages 1443-1471, July.
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