On estimating the conditional expected shortfall (Q3552644)

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On estimating the conditional expected shortfall
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    title
    On estimating the conditional expected shortfall (English)
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    DOI
    10.1002/asmb.729
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    author
    Franco Peracchi
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    Andrei V. Tanase
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    publication date
    22 April 2010
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    Mathematics Subject Classification ID
    62P05
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    91B30
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    62G05
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    65C05
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    zbMATH DE Number
    5697277
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    zbMATH Keywords
    risk measures
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    quantile regression
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    logistic regression
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    value at risk
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