Essays about: "Yair Elsner"
Found 1 essay containing the words Yair Elsner.
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1. Value at Risk - The Square Root Rule
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : This paper tests the “Square Root Rule” (the SRR), a Basel sanctioned method of scaling 1-day Value At risk to higher time horizons. The SRR has come under serious assault from leading researchers focusing on its week theoretical basis: assuming i.i.d. READ MORE
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