Guobin Fan

School of Management and Economics, The University of Electronic Science and Technology of China

No.4, Section 2, North Jianshe Road

Chengdu, Chengdu

China

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Scholarly Papers (1)

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Capturing Tail Risks Beyond VaR

Number of pages: 28 Posted: 07 Sep 2008 Last Revised: 10 Jul 2009
Woon K. Wong, Guobin Fan and Yong Zeng
IMRU, Cardiff Business School, School of Management and Economics, The University of Electronic Science and Technology of China and University of Electronic Science and Technology of China (UESTC)
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Abstract:

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Value-at-Risk, expected shortfall, tail risk, backtesting, saddlepoint technique