Hanson Li

University of California, Berkeley - Haas School of Business

545 Student Services Building, #1900

2220 Piedmont Avenue

Berkeley, CA 94720

United States

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Scholarly Papers (1)

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PELVE: Probability Equivalent Level of VaR and ES

Number of pages: 44 Posted: 12 Dec 2019 Last Revised: 26 May 2020
Hanson Li and Ruodu Wang
University of California, Berkeley - Haas School of Business and University of Waterloo - Department of Statistics and Actuarial Science
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Abstract:

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Value-at-Risk, Expected Shortfall, regulatory capital, heavy tails, portfolio diversification