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A comparative study on value at risk and conditional value at risk with an application to the Malaysian financial market 

Mohamed, Mohamed; Ismail, Noriszura; Razali, Ahmad (African Journal of Business Management, 2012-03-14)
Value at risk (VaR) and conditional value at risk (CVaR) are frequently used as risk measures in risk management. VaR estimates the maximum expected loss over a given time period at a given acceptance level, whereas CVaR ...

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AuthorIsmail, Noriszura (1)Mohamed, Mohamed (1)Razali, Ahmad (1)Subject
Value at risk, conditional value at risk, RiskMetrics, peaks the over threshold, IGARCH, generalized Pareto (1)
... View MoreDate Issued2012 (1)Has File(s)
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