Estimation Error of Expected Shortfall
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Imre Kondor;
Estimation Error of Expected Shortfall
The problem of estimation error of Expected Shortfall is analyzed, with a view of its introduction as a global regulatory risk measure.
- Parmenides Foundation Germany
- London Mathematical Laboratory United Kingdom
FOS: Economics and business, Risk Management (q-fin.RM), Quantitative Finance - Risk Management
FOS: Economics and business, Risk Management (q-fin.RM), Quantitative Finance - Risk Management
selected citations These citations are derived from selected sources.This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).1 popularity This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.Average influence This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).Average impulse This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.Average
selected citations
Citations provided by BIP!
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
Citations provided by BIP!popularityPopularity provided by BIP!
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
Popularity provided by BIP! 1
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Average
Average
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