On estimating the conditional expected shortfall

DOI10.1002/asmb.729zbMath1199.62051OpenAlexW2248169913MaRDI QIDQ3552644

Franco Peracchi, Andrei V. Tanase

Publication date: 22 April 2010

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/2108/36553

zbMATH Keywords

quantile regressionlogistic regressionrisk measuresvalue at risk

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05) Monte Carlo methods (65C05)

Related Items

Bayesian CV@R/super-quantile regression, Nonparametric kernel estimation of expected shortfall under negatively associated sequences, Asymptotically efficient estimation of the conditional expected shortfall, Superquantile regression with applications to buffered reliability, uncertainty quantification, and conditional value-at-risk, MODEL-FREE INFERENCE FOR TAIL RISK MEASURES, Nonparametric kernel estimation of CVaR under \(\alpha\)-mixing sequences, Measures of Residual Risk with Connections to Regression, Risk Tracking, Surrogate Models, and Ambiguity, Computation of expected shortfall by fast detection of worst scenarios, Multi-stage stochastic model in portfolio selection problem, Estimation methods for expected shortfall

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