Probability equivalent level of value at risk and higher-order expected shortfalls (Q2681453)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Probability equivalent level of value at risk and higher-order expected shortfalls |
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Statements
Probability equivalent level of value at risk and higher-order expected shortfalls (English)
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3 February 2023
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value at risk
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higher-order expected shortfall
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Gini shortfall
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PELVE
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generalized Pareto distribution
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regularly varying distribution
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