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Estimation Error of Expected Shortfall

The problem of estimation error of Expected Shortfall is analyzed, with a view of its introduction as a global regulatory risk measure.
Year of publication:
2014-02
Authors: Kondor, Imre
Institutions: arXiv.org
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application/pdf
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Type of publication: Book / Working Paper
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Persistent link: https://www.econbiz.de/10010744425
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