A nonparametric approach to calculating value-at-risk (Q2442522): Difference between revisions

@@ Property / describes a project that uses @@
+QRM
@@ Property / describes a project that uses: QRM / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.insmatheco.2012.12.008
+Normal rank
@@ Property / OpenAlex ID @@
+W2046079480
@@ Property / OpenAlex ID: W2046079480 / rank @@
+Normal rank
@@ Property / cites work @@
+Bandwidth selection for kernel distribution function estimation
+Normal rank
@@ Property / cites work @@
+Coherent Measures of Risk
@@ Property / cites work: Coherent Measures of Risk / rank @@
+Normal rank
@@ Property / cites work @@
+Q3065294
@@ Property / cites work: Q3065294 / rank @@
+Normal rank
@@ Property / cites work @@
+Quantitative Operational Risk Models
@@ Property / cites work: Quantitative Operational Risk Models / rank @@
+Normal rank
@@ Property / cites work @@
+Kernel density estimation of actuarial loss functions
+Normal rank
@@ Property / cites work @@
+Inverse beta transformation in kernel density estimation
+Normal rank
@@ Property / cites work @@
+Skewed bivariate models and nonparametric estimation for the CTE risk measure
+Normal rank
@@ Property / cites work @@
+Bandwith selection for the smoothing of distribution functions
+Normal rank
@@ Property / cites work @@
+Kernel density estimation for heavy-tailed distributions using the champernowne transformation
+Normal rank
@@ Property / cites work @@
+Nonparametric estimation of conditional VaR and expected shortfall
+Normal rank
@@ Property / cites work @@
+Risk Measures and Comonotonicity: A Review
@@ Property / cites work: Risk Measures and Comonotonicity: A Review / rank @@
+Normal rank
@@ Property / cites work @@
+Semiparametric estimation of Value at Risk
@@ Property / cites work: Semiparametric estimation of Value at Risk / rank @@
+Normal rank
@@ Property / cites work @@
+A new distribution-free quantile estimator
@@ Property / cites work: A new distribution-free quantile estimator / rank @@
+Normal rank
@@ Property / cites work @@
+A simple general approach to inference about the tail of a distribution
+Normal rank
@@ Property / cites work @@
+Risk measures, distortion parameters, and their empirical estimation
+Normal rank
@@ Property / cites work @@
+Bias correction for estimated distortion risk measure using the bootstrap
+Normal rank
@@ Property / cites work @@
+Sensitivity of risk measures with respect to the normal approximation of total claim distributions
+Normal rank
@@ Property / cites work @@
+A generalization of the Kaplan-Meier estimator for analyzing bivariate mortality under right-censoring and left-truncation with applications in model-checking for survival copula models
+Normal rank
@@ Property / cites work @@
+Q5706744
@@ Property / cites work: Q5706744 / rank @@
+Normal rank
@@ Property / cites work @@
+Jackknife empirical likelihood method for some risk measures and related quantities
+Normal rank
@@ Property / cites work @@
+Q3921991
@@ Property / cites work: Q3921991 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4345873
@@ Property / cites work: Q4345873 / rank @@
+Normal rank
@@ Property / cites work @@
+Bias reduction in kernel density estimation by smoothed empirical transformations
+Normal rank
@@ Property / cites work @@
+Smoothing parameter selection for smooth distribution functions
+Normal rank
@@ Property / cites work @@
+Kernel Quantile Estimators
@@ Property / cites work: Kernel Quantile Estimators / rank @@
+Normal rank
@@ Property / cites work @@
+Q4727203
@@ Property / cites work: Q4727203 / rank @@
+Normal rank
@@ Property / cites work @@
+A New Kernel Distribution Function Estimator Based on a Non‐parametric Transformation of the Data
+Normal rank
@@ Property / cites work @@
+Transformations in Density Estimation
@@ Property / cites work: Transformations in Density Estimation / rank @@
+Normal rank