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TERES: Tail Event Risk Expectile Shortfall - MaRDI portal

TERES: Tail Event Risk Expectile Shortfall (Q4991087)

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scientific article; zbMATH DE number 7353689
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English
TERES: Tail Event Risk Expectile Shortfall
scientific article; zbMATH DE number 7353689

    Statements

    title
    TERES: Tail Event Risk Expectile Shortfall (English)
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    author
    Andrija Mihoci
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    Cathy Yi-Hsuan Chen
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    Wolfgang Karl Härdle
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    publication date
    2 June 2021
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    zbMATH Keywords
    expected shortfall
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    expectiles
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    value at risk
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    risk management
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    tail risk
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    Identifiers

    zbMATH DE Number
    7353689
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    OpenAlex ID
    W2282862991
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