On estimating the conditional expected shortfall

DOI10.1002/asmb.729zbMath1199.62051MaRDI QIDQ3552644

Franco Peracchi, Andrei V. Tanase

Publication date: 22 April 2010

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/2108/36553

zbMATH Keywords

quantile regression; logistic regression; risk measures; value at risk

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

62G05: Nonparametric estimation

65C05: Monte Carlo methods

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