Backtesting extreme value theory models of expected shortfall (Q5234339)
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scientific article; zbMATH DE number 7110461
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Backtesting extreme value theory models of expected shortfall |
scientific article; zbMATH DE number 7110461 |
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Backtesting extreme value theory models of expected shortfall (English)
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26 September 2019
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extreme value theory
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skewed distributions
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expected shortfall
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backtesting
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filtered historical simulation
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