Essays about: "Yair Elsner"

Found 1 essay containing the words Yair Elsner.

  1. 1. Value at Risk - The Square Root Rule

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Yair Elsner; [2012]
    Keywords : Value At Risk; VaR; scaling; risk; risk-measurement; financial risk; downside-risk; Basel; Business and Economics;

    Abstract : 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