Essays about: "Filippa Gerstädt"

Found 1 essay containing the words Filippa Gerstädt.

  1. 1. Expected Shortfall as a Complement to Value at Risk - A study applied to commodities

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Filippa Gerstädt; Maria Olander; [2010]
    Keywords : Value at Risk; Expected Shortfall; nine approaches; backtesting; Business and Economics;

    Abstract : 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