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Compute Expected Shortfall and Value at Risk for Continuous Distributions

Georgi N. Boshnakov

Last update: 3 November 2022

Copyright license: GNU General Public License, version 3.0, GNU General Public License, version 2.0

Software version identifier: 0.5

Cites work

• Expected Shortfall: A Natural Coherent Alternative to Value at Risk

Cited In (1)

• fGarch

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