Washington Luis, 855
Porto Alegre, Rio Grande do Sul 90010-460
Universidade Federal do Rio Grande do Sul (UFRGS)
in Total Papers Downloads
Expected Shortfall, Shortfall Deviation, Backtest, Monte Carlo Simulations
Shortfall deviation risk, risk management, risk measures, coherent risk measures, generalized deviation measures.
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File name: SSRN-id2874778.
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shortfall deviation risk, risk management, risk measures, coherent risk measures, generalized deviation measures
Risk Measures, Expected Shortfall, Risk Estimation, Backtesting
Risk management; Risk measures; Serial dependence; Pair-copula construction
Emerging Markets, ICAPM, Copula-DCC-GARCH
risk parity, brazilian market, covariance matrix
Risk measures, value at risk, capital determination, sub-linear expectation, robustness.
Odd lots, market microstructure, liquidity B M &F Bovespa
Risk measures, DCC-GARCH, copulas, model risk, Monte Carlo simulation.
balance at risk, credit risk, personal finance
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