Estimation of the marginal expected shortfall: the mean when a related variable is extreme
نویسندگان
چکیده
منابع مشابه
The Evaluation of Systemic Risk in the Iran Banking System by Marginal Expected Shortfall (MES) Criterion
Today, Systemic Risk is being analyzed as one of the major issues in financial institutions. Banks are one of the institutions that can be linked to systemic risk based on global experience. Therefore, in the study, we evaluate the systemic risk in the banking system of the country via the marginal expected shortfall (MES) criterion. For the purpose of the present study, 17 banks listed on the ...
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15 صفحه اولExpected shortfall estimation using kernel machines †
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ژورنال
عنوان ژورنال: Journal of the Royal Statistical Society: Series B (Statistical Methodology)
سال: 2014
ISSN: 1369-7412
DOI: 10.1111/rssb.12069