Value at Risk & Expected Shortfall. En empirisk analys av riskmåttens parametrar
The purpose of this paper is, with the help of the historical simulation and bootstrapping methods, to establish the optimal periods for Value at Risk and Expected Shortfall forecasts. Value at Risk and Expected Shortfall are two well-used risk measures in finance which tell us how much we can expect to lose on a particular investment with a certain probability over a specific period of time. The
