Multi-period exponentially weighted-expected shortfall

DOI10.13548/J.SXZZ.20170331.009MaRDI QIDQ3175215zbMATHFDO

Authors Qiong Liu, Yijun Hu

Publication date 18 July 2018

zbMATH Keywords

convexityexponential weightingmulti risksingle risk

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Recommendations

• Risk management with expected shortfall
• Expected shortfall and beyond
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• Time consistent dynamic risk measures
• An exponentially weighted quantile regression via SVM with application to estimating multiperiod VaR

Cited in

(1)

• Estimation of multiple period expected shortfall and median shortfall for risk management

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