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Beyond Value at Risk: Forecasting Portfolio Loss at Multiple Horizons · Study

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PreprintBeyond Value at Risk: Forecasting Portfolio Loss at Multiple Horizons

Lisa R. Goldberg2007

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Preprintgreen2007

Beyond Value at Risk: Forecasting Portfolio Loss at Multiple Horizons

Lisa R. Goldberg · Jared Weinstein

25 citations·0/0 files stored·SSRN Electronic Journal

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Risk and Portfolio Optimization

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References

1952PORTFOLIO SELECTION*1999Coherent Measures of Risk 2000Optimization of conditional value-at-risk 1963The Variation of Certain Speculative Prices 1997The variation of certain speculative prices 1997Modelling Extremal Events 2002Conditional value-at-risk for general loss distributions 2000Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach

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2003Financial Risk and Heavy Tailschapter · 9 shared references 2006Empirical study of value‐at‐risk and expected shortfall models with heavy tailsarticle · 8 shared references 2012Extreme Value Theory for Finance: A Surveypreprint · 8 shared references 2005Empirical Study of Value-at-Risk and Expected Shortfall Models With Heavy Tailspreprint · 8 shared references 2002Portfolio Value‐at‐Risk with Heavy‐Tailed Risk Factorsarticle · 7 shared references 2003High volatility, thick tails and extreme value theory in value-at-risk estimationarticle · 7 shared references

Details

Year2007

Typepreprint

Published2007-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations25

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.2139/ssrn.1023441

openalex_workW1496737414

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