A regression analysis of expected shortfall (Q1747455)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: A regression analysis of expected shortfall |
scientific article; zbMATH DE number 6866825
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | A regression analysis of expected shortfall |
scientific article; zbMATH DE number 6866825 |
Statements
A regression analysis of expected shortfall (English)
0 references
8 May 2018
0 references
backtesting method
0 references
coherent risk
0 references
expected shortfall
0 references
proportional mean residual life function
0 references
quasi-likelihood estimation
0 references
risk management
0 references
semiparametric modeling
0 references
0.8456860184669495
0 references
0.8398942947387695
0 references
0.8310056924819946
0 references
0.8270751237869263
0 references
0.8223090767860413
0 references
