Asymptotic behavior of expected shortfall for portfolio loss under bivariate dependent structure
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Publication:5079025
DOI10.1080/03610926.2019.1630439OpenAlexW2969169229MaRDI QIDQ5079025
Xiaoli Gan, Shengxue Wei, Guo-Dong Xing
Publication date: 25 May 2022
Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610926.2019.1630439
asymptoticsexpected shortfallpower-lawspectral risk measurebivariate Eyraud-Farlie-Gumbel-Morgenstern copula
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Cites Work
- The size distribution of innovations revisited: an application of extreme value statistics to citation and value measures of patent significance
- A characterization of joint distribution of two-valued random variables and its applications
- Coherent Measures of Risk
- Adjusted empirical likelihood for value at risk and expected shortfall
- Proper Conditioning for Coherent VaR in Portfolio Management
- Institutional Investors and Stock Market Volatility
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