Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall
نویسندگان
چکیده
منابع مشابه
Nonparametric Estimation of Expected Shortfall
The paper evaluates the properties of nonparametric estimators of the expected shortfall, an increasingly popular risk measure in financial risk management. It is found that the existing kernel estimator based on a single bandwidth does not offer variance reduction, which is surprising considering that kernel smoothing reduces the variance of estimators for the value at risk and the distributio...
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ژورنال
عنوان ژورنال: Mathematical Finance
سال: 2004
ISSN: 0960-1627,1467-9965
DOI: 10.1111/j.0960-1627.2004.00184.x