Becker, Ying L.; Guo, Lin; Nurmamatov, Odilbek - In: Advances in Pacific Basin business, economics and finance, (pp. 23-52). 2020
Value at risk (VaR) and expected shortfall (ES) are popular market risk measurements. The former is not coherent but robust, whereas the latter is coherent but less interpretable, only conditionally backtestable and less robust. In this chapter, we compare an innovative artificial neural network...