Estimating and backtesting risk under heavy tails (Q2138613)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Estimating and backtesting risk under heavy tails |
scientific article |
Statements
Estimating and backtesting risk under heavy tails (English)
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12 May 2022
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value-at-risk
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expected shortfall
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estimation of risk capital
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bias
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risk estimation
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backtesting
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unbiased estimation of risk measures
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generalized Pareto distribution
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