Estimation and backtesting of risk measures with emphasis on distortion risk measures

DOI10.1007/S42081-024-00264-ZMaRDI QIDQ6670102FDO

Authors Hideatsu Tsukahara

Publication date 22 January 2025

Published in Japanese Journal of Statistics and Data Science (Search for Journal in Brave)

zbMATH Keywords

expected shortfallvalue-at-riskrisk measurestatistical estimationdistortion risk measuresbacktesting

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

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