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Historical risk measures on stock market indices and energy markets
Year Of Publication: 2011
Month Of Publication: November
Pages: 11
Download Count: 6
View Count: 1384
Comment Num: 0
Language: English
Source: working paper
Who Can Read: Free
Date: 11-26-2011
Publisher: Administrator
Summary
In this paper we look at the efficacy of different risk measures on energy markets and
across several different stock market indices. We use both the Value at Risk and the Tail Conditional Expectation on each of these data sets. We also consider several different durations and levels for historical risk measures. Through our results we make some recommendations for a robust risk management strategy that involves historical risk measures.
Author(s)
Tarrant, Wayne Sign in to follow this author
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