Kehan Li

Université Paris I Panthéon-Sorbonne

12 place du Panthéon

Paris, 75005

France

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The Spectral Stress VaR (SSVaR)

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 17/WP/2015
Number of pages: 23 Posted: 25 Jun 2015
Université Paris I Panthéon-Sorbonne, Université Paris I Panthéon-Sorbonne and Université Paris I Panthéon-Sorbonne
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Abstract:

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Value at Risk, Asymptotic theory, Distribution, Spectral analysis, Stress, Risk measure, Regulation