Estimating Value at Risk and Expected Shortfall: A Brief Review and Some New Developments

Value-at-risk (VaR) and expected shortfall (ES) are two commonly utilized metrics for quantifying financial risk. In this study, we review the widely employed Generalized Autoregressive Conditional Heteroskedasticity (GARCH) models. These models are explored with diverse distributional assumptions o...

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Hauptverfasser:	Kamronnaher, Kanon, Bellucco, Andrew, Huang, Whitney K, Gallagher, Colin M
Format:	Artikel
Sprache:	eng
Schlagworte:	Statistics - Computation
Online-Zugang:	Volltext bestellen
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