Blar i Studentoppgaver (TN-ISØP) på emneord "expected shortfall"
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A Comparison Study of Value at Risk and Expected Shortfall
(Master thesis, 2017-06-12)This thesis evaluates the performance of Value at Risk (VaR) and Expected Shortfall (ES) for four portfolios during different scenarios. Both historical VaR and normal VaR together with ES have been calculated for two ...