Estimating Value at Risk and Expected Shortfall Using Expectiles
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چکیده
منابع مشابه
Coherence and elicitability
The risk of a financial position is usually summarized by a risk measure. As this risk measure has to be estimated from historical data, it is important to be able to verify and compare competing estimation procedures. In statistical decision theory, risk measures for which such verification and comparison is possible, are called elicitable. It is known that quantile based risk measures such as...
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