BP-CVaR: a novel model of estimating CVaR with back propagation algorithm

DOI10.1016/J.ECONLET.2021.110125zbMATH Open1479.91450OpenAlexW3208862154MaRDI QIDQ824009FDOQ824009

Authors: Gang-Jin Wang, Chun-Long Zhu 

Publication date: 14 December 2021

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2021.110125

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zbMATH Keywords

risk measureCVaRback propagationback-testingBP-CVaR

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Cites Work

• Managing the risk based on entropic value-at-risk under a normal-Rayleigh distribution

Cited In (1)

• Forecasting systemic risk of China's banking industry by partial differential equations model and complex network

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