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Telfah, 2003 - Google Patents

Analytical estimation of value at risk under thick tails and fast volatility updating

Telfah, 2003

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Document ID
8739601422479549402
Author
Telfah A
Publication year

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Despite its recent advent, value at risk (VaR) became the most widely used technique for measuring future expected risk for both financial and non-financial institutions. VaR, the measure of the worst expected loss over a given horizon at a given confidence level …
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