LAUSR

Dependent bootstrapping for value-at-risk and expected shortfall

Sign Up to like & get
recommendations!
0 Published in 2017 at "Risk Management"

DOI: 10.1057/s41283-017-0023-y

Abstract: Estimation in extreme financial risk is often faced with challenges such as the need for adequate distributional assumptions, considerations for data dependencies, and the lack of tail information. Bootstrapping provides an alternative that overcomes some… read more here.

Keywords: dependent bootstrapping; value risk; risk; risk expected ... See more keywords