Estimation Error of Expected Shortfall

Imre Kondor ()

Papers from arXiv.org

Abstract: The problem of estimation error of Expected Shortfall is analyzed, with a view of its introduction as a global regulatory risk measure.

Date: 2014-02
New Economics Papers: this item is included in nep-fmk and nep-rmg
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Citations: View citations in EconPapers (5)

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