Value-at-risk and expected shortfall relationship (Q3454059)
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scientific article; zbMATH DE number 6515398
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Value-at-risk and expected shortfall relationship |
scientific article; zbMATH DE number 6515398 |
Statements
2 December 2015
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coverage probability
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optimization
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risk measure
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0.814828097820282
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0.7879072427749634
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0.7822129726409912
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0.7782847285270691
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0.7782374024391174
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