Dependent bootstrapping for value-at-risk and expected shortfall
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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
Tabulations for value at risk and expected shortfall
Sign Up to like & getrecommendations! Published in 2017 at "Communications in Statistics - Theory and Methods"
DOI: 10.1080/03610926.2015.1116572
Abstract: ABSTRACT Value at risk and expected shortfall are the two most popular measures of financial risk. Here, we tabulate expressions for both these measures for over 100 parametric distributions, including all commonly known distributions, and… read more here.
Keywords: value risk; risk; risk expected; expected shortfall ... See more keywords