Accurate Evaluation of Expected Shortfall for Linear Portfolios with Elliptically Distributed Risk Factors-Reference-Cited by-同舟云学术

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Accurate Evaluation of Expected Shortfall for Linear Portfolios with Elliptically Distributed Risk Factors

Published:2017-02-02 Issue:1 Volume:10 Page:5
ISSN:1911-8074
Container-title:Journal of Risk and Financial Management
language:en
Short-container-title:JRFM

Author:

Dobrev∗ Dobrislav,Nesmith Travis,Oh Dong

Publisher

MDPI AG

Link

http://www.mdpi.com/1911-8074/10/1/5/pdf

Reference43 articles.

1. Coherent Measures of Risk

2. Consultative Document. Fundamental Review of the Trading Book: A Revised Market Risk Framework,2013

3. Estimation methods for expected shortfall

4. Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall

5. Nonparametric estimation of conditional expected shortfall;Scaillet;Insur. Risk Manag. J.,2005

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3. Qualitative robustness of set-valued value-at-risk;Mathematical Methods of Operations Research;2020-02

4. Dynamic semiparametric models for expected shortfall (and Value-at-Risk);Journal of Econometrics;2019-08

5. Robust Forecast Evaluation of Expected Shortfall*;Journal of Financial Econometrics;2019-02-04

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