A Confidence Interval Procedure for Expected Shortfall Risk Measurement via Two-Level Simulation (Q3100502)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A Confidence Interval Procedure for Expected Shortfall Risk Measurement via Two-Level Simulation |
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A Confidence Interval Procedure for Expected Shortfall Risk Measurement via Two-Level Simulation (English)
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24 November 2011
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conditional value-at-risk
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worst conditional expectation
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tail conditional expectation
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conditional tail expectation
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expected shortfall
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empirical likelihood
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design of experiments: efficiency: screening methods
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finance
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portfolio: risk management
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