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ABSTRACT Value at risk and expected shortfall are the two most popular measures of financial risk. Here, we tabulate expressions for both these measures for over 100 parametric distributions, including… Click to show full abstract
ABSTRACT Value at risk and expected shortfall are the two most popular measures of financial risk. Here, we tabulate expressions for both these measures for over 100 parametric distributions, including all commonly known distributions, and illustrate a data application. We expect that this collection of expressions could serve as a source of reference and encourage further research with respect to measures of financial risk.
Keywords:
value risk;
risk;
risk expected;
expected shortfall;
tabulations value
Journal Title: Communications in Statistics - Theory and Methods
Year Published: 2017
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Journal Title: Communications in Statistics - Theory and Methods
Year Published: 2017
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!