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Estimation of multiple period expected shortfall and median shortfall for risk management

So Mike; Wong Chi Ming (IOP Publishing Ltd., 2011)

With the regulatory requirements for risk management, Value at Risk (VaR) has become an essential tool in determining capital reserves to protect the risk induced by adverse market movements. The fact that VaR is not ...
On Conditional Moments of GARCH Models, with Applications to Multiple Period Value at Risk Estimation

Wong Chi Ming; So Mike (Institute of Statistical Science, Academia Sinica & International Chinese Statistical Association, 2003)

In this article, the exact conditional second and fourth moments of returns and their temporal aggregates are derived under GARCH models. Three multiple period Value at Risk estimation methods are proposed. Two methods are ...

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