The comparison of Value at Risk, Expected Short-fall, and Gini measure and its applications
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This thesis studies some of the most used risk measures - Value at Risk (VaR), Expected Short-fall(ES), and Gini measure and their applications. The most often used risk indicator in financial risk management is Value at risk. However, VaR will have some flaws when it comes to measuring extreme risks.
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risk measures, monty carlo, VaR, ES, Gini shortfall