
New dynamic risk measure launched

Speaking at the Energy Risk Europe conference in London, Andrea Roncoroni, professor of finance at the ESSEC Business School in Paris and Singapore, presented a new method to widen the extent of any risk measure and capture the time evolution of market risk for energy and commodity linked positions.
A 'flowing value-at-risk', or FloVaR, has been developed by Roncoroni in collaboration with Gianluca Fusai, professor of finance at Piemonte Orientale University, and Rachid Id Brik, a PhD student at
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact [email protected] to find out more.
You are currently unable to copy this content. Please contact [email protected] to find out more.
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email [email protected]
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email [email protected]
More on Risk management
Regulation
French regulator questions need for share trading equivalence
Esma’s reinterpretation ahead of Brexit reduces need for equivalence system, says AMF official
Receive this by email