Search Results

On the Role of the Estimation Error in Prediction of Expected Shortfall

Download or Read eBook On the Role of the Estimation Error in Prediction of Expected Shortfall PDF written by Carl Lönnbark and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle.
On the Role of the Estimation Error in Prediction of Expected Shortfall
Author :
Publisher :
Total Pages :
Release :
ISBN-10 : OCLC:930814055
ISBN-13 :
Rating : 4/5 (55 Downloads)

Book Synopsis On the Role of the Estimation Error in Prediction of Expected Shortfall by : Carl Lönnbark

Book excerpt:


On the Role of the Estimation Error in Prediction of Expected Shortfall Related Books

On the Role of the Estimation Error in Prediction of Expected Shortfall
Language: en
Pages:
Authors: Carl Lönnbark
Categories:
Type: BOOK - Published: 2012 - Publisher:

DOWNLOAD EBOOK

Estimation Error of Expected Shortfall
Language: en
Pages: 7
Authors: Imre Kondor
Categories:
Type: BOOK - Published: 2014 - Publisher:

DOWNLOAD EBOOK

The problem of estimation error of Expected Shortfall is analyzed, with a view of its introduction as a global regulatory risk measure.
Comparative Analyses of Expected Shortfall and VaR
Language: en
Pages: 56
Authors: Yasuhiro Yamai
Categories: Financial futures
Type: BOOK - Published: 2001 - Publisher:

DOWNLOAD EBOOK

Expected shortfall is compared with Value-at-Risk (VaR) in three aspects: estimation errors, decomposition into risk factors, and optimization. Advantages and d
Contour Map of Estimation Error for Expected Shortfall
Language: en
Pages: 5
Authors: Imre Kondor
Categories:
Type: BOOK - Published: 2015 - Publisher:

DOWNLOAD EBOOK

The contour map of estimation error of Expected Shortfall (ES) is constructed. It allows one to quantitatively determine the sample size (the length of the time
Backtesting Value at Risk and Expected Shortfall
Language: en
Pages: 155
Authors: Simona Roccioletti
Categories: Business & Economics
Type: BOOK - Published: 2015-12-04 - Publisher: Springer

DOWNLOAD EBOOK

In this book Simona Roccioletti reviews several valuable studies about risk measures and their properties; in particular she studies the new (and heavily discus
Scroll to top