Value-at-risk models (VaR and Expected Shortfall) in low-liquidity markets

Value-at-risk models (VaR and Expected Shortfall) in low-liquidity marketsgestionriesgodr2026-10-14T07:51:17-04:00

What it is about

Calibration and validation of market risk models, with value at risk (VaR) and Expected Shortfall, in settings where liquidity and price availability are limited.

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