Estimation methods for expected shortfall
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Publication:2879025
DOI10.1080/14697688.2013.816767zbMATH Open1294.91196OpenAlexW2080296340MaRDI QIDQ2879025FDOQ2879025
Authors: Stephen Chan, Saralees Nadarajah, Bo Zhang 
Publication date: 5 September 2014
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2013.816767
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Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02)
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Cited In (23)
- Managing risk with expected shortfall
- Tabulations for value at risk and expected shortfall
- A parsimonious parametric model for generating margin requirements for futures
- How does the choice of Value-at-Risk estimator influence asset allocation decisions?
- ANVILS-VOCE: ANova-based Varying Inner-Loop Size estimation of Variance of Conditional Expectation
- Strong consistency of tail value-at-risk estimator and corresponding general results under widely orthant dependent samples
- Approximation methods for multiple period Value at Risk and Expected Shortfall prediction
- Nonparametric estimation of 100(1 − p)% expected shortfall: p → 0 as sample size is increased
- The riskiness of stock versus money market investment with stochastic rates
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- COMPARATIVE ANALYSES OF EXPECTED SHORTFALL AND VALUE-AT-RISK(Special Issue on Theory, Methodology and Applications in Financial Engneering)
- Comparison of risks based on the expected proportional shortfall
- Estimation of multiple period expected shortfall and median shortfall for risk management
- Truncated skewed type III generalized logistic distribution: risk measurement applications
- Modelling skewed and heavy-tailed data using a normal weighted inverse Gaussian distribution
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