A regression analysis of expected shortfall

DOI10.4310/SII.2015.V8.N3.A4zbMath1405.91248MaRDI QIDQ1747455

Jia Su, Sufianti, Zong-Wu Cai

Publication date: 8 May 2018

Published in: Statistics and Its Interface (Search for Journal in Brave)

zbMATH Keywords

quasi-likelihood estimationrisk managementexpected shortfallsemiparametric modelingcoherent riskbacktesting methodproportional mean residual life function

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Reliability and life testing (62N05) Credit risk (91G40)

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