Sökning: "Sreeja Madhavi Prajeesh"
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1. A study incorporating skewness in Expected Shortfall Estimation
Magister-uppsats, Lunds universitet/Nationalekonomiska institutionenSammanfattning : Expected Shortfall has become a prominent risk measure after the global financial crisis which hit the economy in 2007. This master thesis examines whether Expected Shortfall (ES) estimation gives better estimates when we incorporate skewness and the impact during turbulent versus tranquil period. LÄS MER
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