A Non-parametric Method for Calculating Conditional Stressed Value at Risk
We consider the Value at Risk (VaR) of a portfolio under stressed conditions. In practice, the stressed VaR (sVaR) is commonly calculated using the data set that includes the stressed period. It tells us how much the risk amount increases if we use the stressed data set. In this paper, we consider t...
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| Main Author: | |
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| Format: | Article |
| Language: | Russian |
| Published: |
Plekhanov Russian University of Economics
2017-11-01
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| Series: | Статистика и экономика |
| Subjects: | |
| Online Access: | https://statecon.rea.ru/jour/article/view/1161 |
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