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30 décembre 2014
- doi: 10.58079/ornd
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finethics, « Le risque de la mesure du risque / The risk of risk measures », Just finance, ID : 10.58079/ornd
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14/01/2015, 17h-19h : Marius Frunza, Schwarzthal Kapital. Abstract The introduction in 2013 of the Expected Shortfall as a regulatory alternative to the traditional Value at Risk, revealed many challenges for financial institutions not only in the implementation but as well in the use of this metrics. Generally the metrics used for assessing the value and the risk of financial instruments should be fundamentally reviewed. First the study will discuss the various metrics used for market risk...