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risk management, quantitative extreme
extreme, risk, analysis, volatility, shortfall, different, risk, measures, standard, analytics
financial risk, extended history, market returns, variance, forecasts, shortfall, risk, perspective
Shortfall, volatility, return horizon, convex risk measure, diversification, portfolio optimization, reverse optimization, marginal contribution to risk, risk-implied correlation, beta
Systematic model global recession quantitative finance random variables central limit theorem normal distribution financial risk
hyptothesis test, value at risk, expected shortfall
empirical study, shortfall, optimization, Barra, Extreme Risk minimum, shortfall minimum, variance portfolios, US, UK, Japanese equity markets, Barra, Style Factors, Value Growth Momentum measures overall asymmetry
long view financial risk, market returns, risk measure variance, alternative, shortfall, extreme moves, convex
Barra, Extreme Risk, BxR Model, Corporate Bond Portfolio, Forecast, xShortfall, xVaR
