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Haim Shalit
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Haim Shalit posted a discussion

What type of risk measure are you using to manage risk?

I am writing a paper on the use of the Lorenz curve in risk analysis. I have 3 uses for justifying the Lorenz curve:1. Stochastic dominance SSD2. Mean-Gini and mean-extended Gini portfolio optimization3. Conditional VaR to be use with Basel IIPlease discuss the issues with me. I need more uses.I need more info to link the Lorenz with the AUmann-Serano measure of riskiness. Please helpSee More
Dec 28, 2009
Haim Shalit was featured
Nov 29, 2009
Haim Shalit replied to Tom's discussion GARCH (1,1)
"Mike Very impressing analysis. But you need to be sure that you have a martingale series of errors terms, i.e., that you have cleaned up all seasonality factors from the series before you Garch it. I will try your series in eviews to see if the…"
May 31, 2009

Profile Information

My Website or LinkedIn Profile (URL):
http://www.bgu.ac.il/~shalit
Field of Expertise:
Finance
Professional Status:
Professor
Interests:
Other
Your Company:
Ben Gurion University
How did you find out about AnalyticBridge?
email

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