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Thoughts on VaR and CVaR
Company: Edith Cowan Unversity
Year Of Publication: 2007
Month Of Publication: November
Pages: 8
Download Count: 47
View Count: 2208
Comment Num: 0
Language: English
Source: working paper
Who Can Read: Free
Date: 7-5-2010
Publisher: Administrator
Summary
This paper examines market Value at Risk (VaR)
and Conditional VaR (CVaR) in Australia from an
industry perspective using a set of Australian
industries. VaR and CVaR are compared between
these industries over time, and a variety of metrics
are used including diversified and undiversified
VaR, as well as parametric and nonparametric
CVaR methods.
Author(s)
Allen, David E. Sign in to follow this author
Powell, Robert J. Sign in to follow this author
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