Estimation Error of Expected Shortfall
Risk Management
2014-02-25 v1
Authors:
Imre Kondor
Abstract
The problem of estimation error of Expected Shortfall is analyzed, with a view of its introduction as a global regulatory risk measure.
Keywords
Cite
@article{arxiv.1402.5534,
title = {Estimation Error of Expected Shortfall},
author = {Imre Kondor},
journal= {arXiv preprint arXiv:1402.5534},
year = {2014}
}
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