Estimation Error of Expected Shortfall

2014/02/22 by Imre Kondor, Kondor, Imre
Economics, Econometrics and Finance · #FOS: Economics and business #Risk Management (q-fin.RM) #q-fin.RM

paper · pdf · doi:10.48550/arxiv.1402.5534

arxiv created 2014/02/22 · arxiv updated 2014/02/25

Abstract

The problem of estimation error of Expected Shortfall is analyzed, with a view of its introduction as a global regulatory risk measure.

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