A regression analysis of expected shortfall
type: Item
instance of: scholarly article
title: A regression analysis of expected shortfall
zbMATH Open document ID: 1405.91248
author: Jia Su
author: Sufianti
author: Zongwu Cai
published in: Statistics and Its Interface
publication date: 2018-05-08T00:00:00Z
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 91G40
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 62N05
zbMATH DE Number: 6866825
zbMATH Keywords: backtesting method
zbMATH Keywords: coherent risk
zbMATH Keywords: expected shortfall
zbMATH Keywords: proportional mean residual life function
zbMATH Keywords: quasi-likelihood estimation
zbMATH Keywords: risk management
zbMATH Keywords: semiparametric modeling
MaRDI profile type: Publication
DOI: 10.4310/SII.2015.V8.N3.A4
description: scientific article; zbMATH DE number 6866825