Open AccessAccurate Evaluation of Expected Shortfall for Linear Portfolios with Elliptically Distributed Risk Factors
Author(s) -
Dobrislav Dobrev,
Travis D. Nesmith,
Dong Hwan Oh
Publication year - 2016
Publication title -
finance and economics discussion series
Language(s) - English
Resource type - Journals
eISSN - 2767-3898
pISSN - 1936-2854
DOI - 10.17016/feds.2016.065
Subject(s) - expected shortfall , quantile , multivariate statistics , econometrics , tail risk , risk management , statistics , economics , mathematics , finance
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