A confidence interval procedure for expected shortfall risk measurement via two-level simulation (Q3100502)
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scientific article; zbMATH DE number 5978669
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| English | A confidence interval procedure for expected shortfall risk measurement via two-level simulation |
scientific article; zbMATH DE number 5978669 |
Statements
A Confidence Interval Procedure for Expected Shortfall Risk Measurement via Two-Level Simulation (English)
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24 November 2011
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conditional value-at-risk
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worst conditional expectation
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tail conditional expectation
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conditional tail expectation
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expected shortfall
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empirical likelihood
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design of experiments: efficiency: screening methods
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finance
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portfolio: risk management
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0.7556591629981995
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0.7534361481666565
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0.7408163547515869
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0.7403366565704346
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0.74009770154953
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