Open AccessBacktesting Expected Shortfall: Accounting for Tail Risk
Author(s) -
Zaichao Du,
Juan Carlos Escanciano
Publication year - 2015
Publication title -
ssrn electronic journal
Language(s) - English
Resource type - Journals
ISSN - 1556-5068
DOI - 10.2139/ssrn.2548544
Subject(s) - expected shortfall , tail risk , accounting , business , economics , econometrics , actuarial science , risk management , finance
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