Results 281 to 290 of about 2,224,639 (290)
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Expected Shortfall

2018
openaire   +1 more source

Backtesting Extreme Value Theory Models of Expected Shortfall

Quantitative Finance, 2019
Alfonso Novales Cinca   +1 more
exaly  

Estimation of Multiple Period Expected Shortfall and Median Shortfall for Risk Management

Quantitative Finance, 2012
Mike So
exaly  

Multinomial VaR Backtests: A Simple Implicit Approach to Backtesting Expected Shortfall

Journal of Banking and Finance, 2018
Marie Kratz, Alexander J. McNeil
exaly  

Estimation Methods for Expected Shortfall

Quantitative Finance, 2014
Saralees Nadarajah, Stephen Chan
exaly  

Portfolio Optimization Under Expected Shortfall: Contour Maps of Estimation Error

Quantitative Finance, 2018
Gábor Papp, Fabio Caccioli, Imre Kondor
exaly  

A regression analysis of expected shortfall

Statistics and Its Interface, 2015
Zongwu Cai, Jia Su, - Sufianti
openaire   +1 more source

Detection of Treatment Effects by Covariate-Adjusted Expected Shortfall

Annals of Applied Statistics, 2010
exaly  

Portfolio Optimization Based on Modified Expected Shortfall

Studies in Economics and Finance, 2019
exaly  

Conditional expected proportional shortfall

Insurance: Mathematics and Economics
Limin Wen   +3 more
openaire   +1 more source
risk management
value-at-risk
fos: economics and business
value at risk
risk management q-fin.rm
backtesting
1. no poverty
8. economic growth
statistical methods risk measures
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