Calculate the 97 5 expected shortfall using the overlapping periods method in conjunction with historical simulation and the cascade approach Relevant data on the indices is on the author's website (see Worksheets for Value at Risk Example ) For the purposes of this problem, assume that the S P 50...

calculating the 975 Expected Shortfall ES using the overlapping periods method in conjunction with h ...

Calculate the 97.5% expected shortfall using the overlapping periods method in conjunction with historical simulation and...

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Risk Management and Financial Institutions

ISBN: 978-1118955949

4th edition

Authors: Hull John

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Posted Date: Mar 12, 2024 12:37 PM

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