Centred expected shortfall (CES): a traditional asset manager’s view on decomposing downside investment risk (Q6127410)
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scientific article; zbMATH DE number 7831711
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Centred expected shortfall (CES): a traditional asset manager’s view on decomposing downside investment risk |
scientific article; zbMATH DE number 7831711 |
Statements
Centred expected shortfall (CES): a traditional asset manager’s view on decomposing downside investment risk (English)
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12 April 2024
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distribution-free risk contributions
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factor risk decomposition
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centring risk measures
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volatility
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conditional VaR
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elliptical distributions
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