Extremal risk management : expected shortfall value verification using the bootstrap method
Marta Malecka
| Year of publication: |
2020
|
|---|---|
| Authors: | Malecka, Marta |
| Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 23.2020, 4, p. 35-59
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| Subject: | expected shortfall (ES) | ES tests | bootstrap test | test size | test power | Bootstrap-Verfahren | Bootstrap approach | Statistischer Test | Statistical test | Theorie | Theory | Risikomaß | Risk measure | Risikomanagement | Risk management | Portfolio-Management | Portfolio selection | Monte-Carlo-Simulation | Monte Carlo simulation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JCF.2020.380 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012212484