Backtesting expected shortfall : accounting for tail risk
Year of publication: |
April 2017
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Authors: | Du, Zaichao ; Escanciano, Juan Carlos |
Published in: |
Management science : journal of the Institute for Operations Research and the Management Sciences. - Catonsville, MD : INFORMS, ISSN 0025-1909, ZDB-ID 206345-1. - Vol. 63.2017, 4, p. 940-958
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Subject: | risk management | expected shortfall | backtesting | tail risk | value at risk | Risikomanagement | Risk management | Risikomaß | Risk measure | Messung | Measurement | Finanzdienstleistung | Financial services | Statistische Verteilung | Statistical distribution | Schätzung | Estimation | Portfolio-Management | Portfolio selection | Risiko | Risk | Bankrisiko | Bank risk |
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