Porto Alegre, Rio Grande do Sul 90010460
Federal University of Rio Grande do Sul
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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 measures, DCC-GARCH, copulas, model risk, Monte Carlo simulation.
balance at risk, credit risk, personal finance
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