Estimation methods for expected shortfall
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Publication:2879025
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Cites work
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- Modeling chinese stock returns with stable distribution
- Modelling the financial risk associated with U.S. Movie box office earnings
- Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall
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Cited in
(25)- Value-at-risk and expected shortfall relationship
- Estimation of multiple period expected shortfall and median shortfall for risk management
- Computation of expected shortfall by fast detection of worst scenarios
- Managing risk with expected shortfall
- An explicit version of the Chebyshev-Markov-Stieltjes inequalities and its applications
- Approximation methods for multiple period Value at Risk and Expected Shortfall prediction
- Joint generalized quantile and conditional tail expectation regression for insurance risk analysis
- Comparison of risks based on the expected proportional shortfall
- Tabulations for value at risk and expected shortfall
- A parsimonious parametric model for generating margin requirements for futures
- Strong consistency of tail value-at-risk estimator and corresponding general results under widely orthant dependent samples
- An \texttt{R} package for value at risk and expected shortfall
- ANVILS-VOCE: ANova-based Varying Inner-Loop Size estimation of Variance of Conditional Expectation
- A joint quantile and expected shortfall regression framework
- Truncated skewed type III generalized logistic distribution: risk measurement applications
- On some properties of two vector-valued VaR and CTE multivariate risk measures for Archimedean copulas
- Nonparametric estimation of \(100(1-p)\%\) expected shortfall: \(p\to 0\) as sample size is increased
- Econometric modeling of risk measures: a selective review of the recent literature
- COMPARATIVE ANALYSES OF EXPECTED SHORTFALL AND VALUE-AT-RISK(Special Issue on Theory, Methodology and Applications in Financial Engneering)
- Modelling skewed and heavy-tailed data using a normal weighted inverse Gaussian distribution
- How does the choice of Value-at-Risk estimator influence asset allocation decisions?
- The riskiness of stock versus money market investment with stochastic rates
- Expected shortfall and beyond
- Comparing the small-sample estimation error of conceptually different risk measures
- Trade and currency options hedging model
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