Nonparametric estimation of expected shortfall via Bahadur-type representation and Berry–Esséen bounds-Reference-Cited by-同舟云学术

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Nonparametric estimation of expected shortfall via Bahadur-type representation and Berry–Esséen bounds

Published:2021-09-01 Issue:3 Volume:92 Page:544-566
ISSN:0094-9655
Container-title:Journal of Statistical Computation and Simulation
language:en
Short-container-title:Journal of Statistical Computation and Simulation

Author:

Wu Yi¹,Yu Wei²,Balakrishnan Narayanaswamy³,Wang Xuejun²

Affiliation:

1. School of Big Data and Artificial Intelligence, Chizhou University, Chizhou, People's Republic of China

2. Center for Pure Mathematics, School of Mathematical Sciences, Anhui University, Hefei, People's Republic of China

3. Department of Mathematics and Statistics, McMaster University, Hamilton, ON, Canada

Funder

National Natural Science Foundation of China

Natural Science Foundation of Anhui Province

PhD Research Initiation Fund Project of Chizhou University

Postdoctoral Science Foundation of China

Publisher

Informa UK Limited

Subject

Applied Mathematics,Statistics, Probability and Uncertainty,Modeling and Simulation,Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/00949655.2021.1966791

Reference24 articles.

1. Coherent Measures of Risk

2. Mckay R, Keefer TE. VaR is a dangerous technique. Corporate Finance, Searching for Systems Integration Supplement; 1996 Sep.

3. VaR and expected shortfall in portfolios of dependent credit risks: Conceptual and practical insights

4. Modelling Extremal Events

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