Impact of multimodality of distributions on VaR and ES calculations
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References listed on IDEAS
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More about this item
Keywords
Risks; Multimodal distributions; Value-at-Risk; Expected Shortfall; Moments method; Adapted rejection sampling; Regulation;All these keywords.
JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
NEP fields
This paper has been announced in the following NEP Reports:- NEP-BAN-2017-03-26 (Banking)
- NEP-RMG-2017-03-26 (Risk Management)
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