Tabulations for value at risk and expected shortfall

DOI10.1080/03610926.2015.1116572MaRDI QIDQ5349132zbMATH OpenOpenAlexFDO

Authors Stephen Chan, Emmanuel Afuecheta, Saralees Nadarajah

Publication date 23 August 2017

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2015.1116572

zbMATH Keywords

expected shortfallparametric distributionsvalue at risk

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Statistical tables (62Q05)

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Cited in

(11)

• Calibrating Distribution Models from PELVE
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• VALUE-AT-RISK AND EXPECTED SHORTFALL FOR LINEAR PORTFOLIOS WITH ELLIPTICALLY DISTRIBUTED RISK FACTORS
• New stochastic comparisons based on tail value at risk measures
• VaR and expected shortfall: a non-normal regime switching framework
• Introduction to the theory of probabilistic functions and percentiles (value-at-risk)
• An \texttt{R} package for value at risk and expected shortfall
• The exponentiated Fréchet regression: an alternative model for actuarial modelling purposes
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