Discuss the weighting schemes of VaR, ES, and a spectral risk measure and relate these weighting schemes

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Discuss the weighting schemes of VaR, ES, and a spectral risk measure and relate these weighting schemes to the “utility” function of the risk manager.

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Investment Risk Management

ISBN: 9780199331963

1st Edition

Authors: H. Kent Baker, Greg Filbeck

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Question Posted: Dec 07, 2023 03:47 AM

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Discuss the weighting schemes of VaR, ES, and a spectral risk measure and relate these weighting schemes

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The weighting of VaR corresponds to the Dirac delta function that puts infinite mass to th...View the full answer

Investment Risk Management

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