On the Estimation of Value-At-Risk and Expected Shortfall at Extreme Levels
Year of publication: |
[2023]
|
---|---|
Authors: | Lazar, Emese ; Pan, Jingqi ; Wang, Shixuan |
Publisher: |
[S.l.] : SSRN |
Subject: | Risikomaß | Risk measure | Schätztheorie | Estimation theory |
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