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Results tagged with value-at-risk
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user 15083
Value-at-Risk is a family of measures used to help the owner of a position to assess its "worst case value".
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Expected Shortfall (CVaR) Backtesting
You can also check out the expected shortfall backtesting methodology proposed here:
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2514403
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