Corso di Risk Management
Corso di Risk Management
Corso di Risk Management
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VaR ed Expected Shortfall0.4Valore a Rischio ed Expected Shortfall al 99% per la normale e la t <strong>di</strong> Student con 4 gra<strong>di</strong> <strong>di</strong> libertàNormale(0,2)0.35t 4VaR 0.99normaleVaR 0.99StudentES 0.99normale0.3ES 0.99Student0.250.20.150.10.050−6 −4 −2 0 2 4 6Marco Bee<strong>Corso</strong> <strong>di</strong> <strong>Risk</strong> <strong>Management</strong>