Chun, So Yeon; Shapiro, Alexander; Uryasev, Stan - Volkswirtschaftliche Fakultät, … - 2011
We discuss linear regression approaches to conditional Value-at-Risk and Average Value-at-Risk (Conditional Value-at-Risk, Expected Shortfall) risk measures. Two estimation procedures are considered for each conditional risk measure, one is direct and the other is based on residual analysis of...