Estimation of Tail Risk Based on Extreme Expectiles (Q4607209)
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scientific article; zbMATH DE number 6849255
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Estimation of Tail Risk Based on Extreme Expectiles |
scientific article; zbMATH DE number 6849255 |
Statements
Estimation of Tail Risk Based on Extreme Expectiles (English)
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13 March 2018
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asymmetric squared loss
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coherency
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expectiles
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extrapolation
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extreme values
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heavy tails
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marginal expected shortfall
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value at risk
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0.93455184
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0.93005836
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0.9277412
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0.9248065
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0.9208314
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0.9186964
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0.9108971
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0.9042667
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0.9031183
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