Historical risk measures on stock market indices and energy markets

Details Historical risk measures on stock market indices and energy markets Historical risk measures on stock market indices and energy markets

2011-11-18

arxiv.org/abs/1111.4421v1

Economy

Quantitative Finance

Risk Management

11 pages

Scientific paper

In this paper we look at the efficacy of different risk measures on energy markets and across several different stock market indices. We use both the Value at Risk and the Tail Conditional Expectation on each of these data sets. We also consider several different durations and levels for historical risk measures. Through our results we make some recommendations for a robust risk management strategy that involves historical risk measures.

Affiliated with

Also associated with

No associations

Rating

Historical risk measures on stock market indices and energy markets does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Historical risk measures on stock market indices and energy markets, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Historical risk measures on stock market indices and energy markets will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-549796