Conditional Value-at-Risk and Average Value-at-Risk: Estimation and Asymptotics
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More about this item
KeywordsValue-at-Risk; Average Value-at-Risk; Conditional Value-at-Risk; Expected Shortfall; linear regression; least squares residual; quantile regression; conditional risk measures; statistical inference;
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2011-04-23 (All new papers)
- NEP-BAN-2011-04-23 (Banking)
- NEP-ECM-2011-04-23 (Econometrics)
- NEP-ORE-2011-04-23 (Operations Research)
- NEP-RMG-2011-04-23 (Risk Management)
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