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- Mon Sep 08, 2014 12:24 pm
- Forum: Volume IV
- Topic: Expected Shortfall allocation
- Replies: 0
- Views: 2487
Hello forum members, I have been scanning Volume 4 to understand if I could address the following issue: a) under consideration is a portfolio of bonds of varying ratings and maturities b) at a 99%, 1 year horizon, an Expected Shortfall of ‘X’ is derived c) is there an approach to disaggregate/alloc...