Risk Measure Inference
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Francq, Christian & Zakoian, Jean-Michel, 2015. "Looking for efficient qml estimation of conditional value-at-risk at multiple risk levels," MPRA Paper 67195, University Library of Munich, Germany.
- repec:eee:ejores:v:268:y:2018:i:1:p:348-360 is not listed on IDEAS
- Raphaëlle BELLANDO & Oana TOADER, 2017. "An analysis of banks’ weaknesses in the light of stress tests," LEO Working Papers / DR LEO 2479, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.
- Markus Holopainen & Peter Sarlin, 2015. "Toward robust early-warning models: A horse race, ensembles and model uncertainty," Papers 1501.04682, arXiv.org, revised Apr 2016.
More about this item
KeywordsRisk Measures; Grouped Ranking; Bootstrap; Uncertainty;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2013-11-09 (All new papers)
- NEP-BAN-2013-11-09 (Banking)
- NEP-ECM-2013-11-09 (Econometrics)
- NEP-ORE-2013-11-09 (Operations Research)
- NEP-RMG-2013-11-09 (Risk Management)
- NEP-UPT-2013-11-09 (Utility Models & Prospect Theory)
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