Probability equivalent level of value at risk and higher-order expected shortfalls (Q2681453)
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scientific article; zbMATH DE number 7649587
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Probability equivalent level of value at risk and higher-order expected shortfalls |
scientific article; zbMATH DE number 7649587 |
Statements
Probability equivalent level of value at risk and higher-order expected shortfalls (English)
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3 February 2023
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value at risk
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higher-order expected shortfall
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Gini shortfall
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PELVE
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generalized Pareto distribution
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regularly varying distribution
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0.87707293
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0.8660684
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0.86164874
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0.85893494
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0.85304195
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0.8504199
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0.84963727
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0.84944165
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0.84874934
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