3 papers
q-fin.RM2011
Historical risk measures on stock market indices and energy markets
Wayne Tarrant
In this paper we look at the efficacy of different risk measures on energy markets and across several different stock market indices. We use both the Value at Risk and the Tail Con…
q-fin.RM2011
Viewing Risk Measures as Information
Dominique Gu/'egan, Wayne Tarrant
Regulation and risk management in banks depend on underlying risk measures. In general this is the only purpose that is seen for risk measures. In this paper we suggest that the re…
q-fin.RM2011
On the Necessity of Five Risk Measures
Dominique Guégan, Wayne Tarrant
The banking systems that deal with risk management depend on underlying risk measures. Following the Basel II accord, there are two separate methods by which banks may determine th…