Sean Ross is a strategic adviser at 1031x.com, Investopedia contributor, and the founder and manager of Free Lances Ltd. Somer G. Anderson is CPA, doctor of accounting, and an accounting and finance ...
This article investigates the performance of time series models considering the jumps, permanent component of volatility, and asymmetric information in predicting value-at-risk (VaR). We use ...
Effective risk attribution should be directly aligned with the underlying investment process to ensure relevance and actionable insights. Our research demonstrates how risk attribution can be aligned ...
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