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摘要翻译：
在本文中，我们考察了不同风险度量在能源市场和几个不同股票市场指数中的有效性。我们在每一个数据集上都使用风险值和尾部条件期望。我们还考虑了历史风险度量的几个不同的持续时间和水平。通过我们的结果，我们为一个稳健的风险管理策略提出了一些建议，其中包括历史风险度量。
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英文标题：
《Historical risk measures on stock market indices and energy markets》
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作者：
Wayne Tarrant
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最新提交年份：
2011
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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英文摘要：
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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PDF链接：
https://arxiv.org/pdf/1111.4421
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