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Risk Measures in Finance
Author

Jan Hurt
Organization: Charles University of Prague
Conference

International Mathematica User Conference 2008
Conference location

Champaign, IL
Description

Risk measures of financial instruments (Value at Risk, Expected Shortfall, etc.) play an important role in financial decision making. The comparison of their behaviour for various distributions of returns will be given. Individual assets as well as portfolios will be considered. The pros and cons for competing risk measures will be discussed and demonstrations on simulated and real data will be presented.
Subject

*Mathematica Technology
URL

http://www.wolfram.com/news/events/userconf2008
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RiskMeasuresInFinance_Abstract.nb (250.4 KB) - Mathematica Notebook
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RiskMeasuresInFinance_Presentation.nb (661 KB) - Mathematica Notebook