Unbiased estimation of risk
Year of publication: |
June 2018
|
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Authors: | Pitera, Marcin ; Schmidt, Thorsten |
Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 91.2018, p. 133-145
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Subject: | Value-at-risk | Tail value-at-risk | Expected shortfall | Risk measure | Estimation of risk measures | Bias | Risk estimation | Elicitability | Backtest | Unbiased estimation of risk measures | Risikomaß | Messung | Measurement | Risiko | Risk | Portfolio-Management | Portfolio selection | Systematischer Fehler | Schätztheorie | Estimation theory | Schätzung | Estimation | Risikomanagement | Risk management |
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