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by MS123
Mon Sep 08, 2014 12:24 pm
Forum: Volume IV
Topic: Expected Shortfall allocation
Replies: 0
Views: 2592

Expected Shortfall allocation

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...

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