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Nonparametric Prediction Interval for Conditional Expected Shortfall Admittinga Location-Scale Model using Bootstrap Method
(Machakos University, 2019-04)
Infinancialriskmanagement,theexpectedshortfallisapopularriskmeasurewhichisoften considered as an alternative to Value-at-Risk. It is defined as the conditional expected loss given that the loss is greater than a given ...