VAR_AND_ES: SHAZAM code for computing VaR and Expected Shortfall
Download full text from publisher
More about this item
KeywordsVaR; Expected Shortfall; Extreme losses; Threshold value; Pareto distribution.;
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wuu:hscode:m12003. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Rafal Weron). General contact details of provider: http://edirc.repec.org/data/hspwrpl.html .
We have no references for this item. You can help adding them by using this form .