On estimating the conditional expected shortfall (Q3552644)
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scientific article; zbMATH DE number 5697277
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| default for all languages | No label defined |
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| English | On estimating the conditional expected shortfall |
scientific article; zbMATH DE number 5697277 |
Statements
On estimating the conditional expected shortfall (English)
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22 April 2010
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risk measures
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quantile regression
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logistic regression
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value at risk
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0.8578086495399475
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0.8430299758911133
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0.8302964568138123
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0.829782247543335
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