Essays about: "Filippa Gerstädt"
Found 1 essay containing the words Filippa Gerstädt.
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1. Expected Shortfall as a Complement to Value at Risk - A study applied to commodities
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : Basel II requires Value at Risk (VaR) as a standardized risk measure for calculating market risk. However, the validity of the risk measure has been questioned since it neglects the losses beyond the VaR level. Expected Shortfall (ES) is a response to this limitation, as it is defined as the average of the losses ignored by VaR. READ MORE
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