Expected shortfall estimation for apparently infinite-mean models of operational risk

DOI10.1080/14697688.2016.1162908zbMath1400.91657OpenAlexW3121486125MaRDI QIDQ4554222

Pasquale Cirillo, Nassim Nicholas Taleb

Publication date: 13 November 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2016.1162908

zbMATH Keywords

upper boundvalue-at-riskexpected shortfalloperational riskfat tailsdismal theoremdual distribution

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Related Items (2)

From concentration profiles to concentration maps. New tools for the study of loss distributions ⋮ Extremiles: A New Perspective on Asymmetric Least Squares

Uses Software

• robustbase
• QRM
• plfit

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Residual life time at great age
• Statistical inference using extreme order statistics
• Are your data really Pareto distributed?
• Sur la distribution limite du terme maximum d'une série aléatoire
• Optimally robust estimators in generalized Pareto models
• Mathematical definition, mapping, and detection of (anti)fragility
• Multivariate models for operational risk
• Power-Law Distributions in Empirical Data
• Statistical Size Distributions in Economics and Actuarial Sciences
• Robust Statistics
• Parameter Estimation for the Truncated Pareto Distribution

This page was built for publication: Expected shortfall estimation for apparently infinite-mean models of operational risk