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arXiv · 1111.4421

Historical risk measures on stock market indices and energy markets

Wayne Tarrant
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Abstract

In this paper we look at the efficacy of different risk measures on energy markets and across several different stock market indices. We use both the Value at Risk and the Tail Conditional Expectation on each of these data sets. We also consider several different durations and levels for historical risk measures. Through our results we make some recommendations for a robust risk management strategy that involves historical risk measures.

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Wayne Tarrant. 2011-11-18. Historical risk measures on stock market indices and energy markets. https://arxiv.org/abs/1111.4421

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