|
|||||
|
|
| 评估风险的期望损失计算及应用研究 | |
| 摘 要： | |
Calculation of Expected Shortfall for Measuring Risk and Its Application |
|
| Authors: | YAN Chun-ning YU Peng HUANG Yang-xin |
| Abstract: | Expected shortfall(ES) is a new method to measure market risk. In this paper, an example was presented to illustrate that the ES is coherent but value-at-risk(VaR) is not coherent. Three formulas for calculating the ES based on historical simulation method,normal method and GARCH method were derived. Further, a numerical experiment on optimizing portfolio using ES was provided. |
| Keywords: | coherent expected shortfall(ES) value-at-risk(VaR) |
| 本文献已被 万方数据 等数据库收录！ | |