A comparison of Expected Shortfall estimation models
Year of publication: |
2015
|
---|---|
Authors: | Righi, Marcelo Brutti ; Ceretta, Paulo Sergio |
Published in: |
Journal of Economics and Business. - Elsevier, ISSN 0148-6195. - Vol. 78.2015, C, p. 14-47
|
Publisher: |
Elsevier |
Subject: | Risk measures | Expected shortfall | Risk estimation | Backtesting |
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