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Besvärsförekomst hos brandmän

Fulltext är ej tillgänglig i elektronisk form. För lån/kopia av tryckt uppsats kontakta Medicinska fakultetens bibliotek, Lunds universitet

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

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. This study applies VaR and ES to three commodities; gold, oil and cor