The application of Value at Risk and Expected Shortfall as Controlling Mechanism of Systematic Risk of Pakistani Stock Market
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KeywordsValue at Risk; Expected Shortfall; Fama and French Three Factor Model; Five Factor Model; Systematic Risk; Idiosyncratic Risk;
All these keywords.
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-FMK-2018-12-03 (Financial Markets)
- NEP-ORE-2018-12-03 (Operations Research)
- NEP-RMG-2018-12-03 (Risk Management)
- NEP-UPT-2018-12-03 (Utility Models & Prospect Theory)
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