A regression analysis of expected shortfall (Q1747455)
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scientific article; zbMATH DE number 6866825
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A regression analysis of expected shortfall |
scientific article; zbMATH DE number 6866825 |
Statements
A regression analysis of expected shortfall (English)
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8 May 2018
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backtesting method
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coherent risk
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expected shortfall
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proportional mean residual life function
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quasi-likelihood estimation
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risk management
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semiparametric modeling
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