Value at Risk and Expected Shortfall: A Primer

$25.00

Value at risk and expected shortfall are expected loss measures that are used extensively by regulators, bankers, and fund managers. In this short article, I will define these two measures, discuss how they are used, and give examples of some of the challenges and misunderstandings associated with their implementation.

Value at Risk and Expected Shortfall: A Primer

Value at risk and expected shortfall are expected loss measures that are used extensively by regulators, bankers, and fund managers. In this short article, I will define these two measures, discuss how they are used, and give examples of some of the challenges and misunderstandings associated with their implementation.

Value at Risk and Expected Shortfall: A Primer

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