VaR and Expected Shortfall vs. Black Swan

21 October 2014, 19:40
TipMyPip
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It is one of the most fundamental approaches in measuring the risk, but truly worth revising its calculation.

Value-at-Risk (VaR). A magical number quoted at the end of the day by the banks’ financial risk managers, portfolios’ risk managers, and risk managers simply concerned about the expected risk threshold not to be, hopefully, exceeded on the next day.

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