Accurate Evaluation of Expected Shortfall for Linear Portfolios with Elliptically Distributed Risk Factors
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- Dobrev, Dobrislav & Nesmith, Travis D. & Oh, Dong Hwan, 2016. "Accurate Evaluation of Expected Shortfall for Linear Portfolios with Elliptically Distributed Risk Factors," Finance and Economics Discussion Series 2016-065, Board of Governors of the Federal Reserve System (US), revised 03 Feb 2017.
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- repec:gam:jrisks:v:6:y:2018:i:3:p:92-:d:168425 is not listed on IDEAS
- repec:gam:jsusta:v:11:y:2019:i:3:p:720-:d:201942 is not listed on IDEAS
More about this item
Keywordsexpectedshortfall; ellipticaldistributions; multivariateStudent t distribution; mixturesof elliptical distributions; accurate closed-form expression;
- C - Mathematical and Quantitative Methods
- E - Macroeconomics and Monetary Economics
- F2 - International Economics - - International Factor Movements and International Business
- F3 - International Economics - - International Finance
- G - Financial Economics
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