The difference between the VaR and historical CVaR is very huge and the worst drawdown exceeds the
Fantastic news! We've Found the answer you've been seeking!
Question:
The difference between the VaR and historical CVaR is very huge and the worst drawdown exceeds the VaR estimate 432 times in a period of 10 years. What are the impacts to the risk management decision making?
Related Book For
Financial Algebra advanced algebra with financial applications
ISBN: 978-0538449670
1st edition
Authors: Robert K. Gerver
Posted Date: