On estimating the conditional expected shortfall

Applied Stochastic Models in Business and Industry

Volumn 24, Issue 5 SPEC. ISS., 2008, Pages 471-493

  Peracchi, Franco ^a,b   Tanase, Andrei V ^a  

^a UNIVERSITY OF ROME TOR VERGATA   (Italy)

^b EIEF   (Italy)

Author keywords

Logistic regression; Quantile regression; Risk measures

Indexed keywords

CLUSTER ANALYSIS; DISTRIBUTION FUNCTIONS; PROBABILITY DENSITY FUNCTION; RANDOM VARIABLES; RISK PERCEPTION; STATISTICAL METHODS;

AUXILIARY INFORMATIONS; CONDITIONAL DISTRIBUTIONS; CONDITIONAL QUANTILES; EXPECTED SHORTFALLS; FINANCIAL DATUMS; LOGISTIC REGRESSION; MONTE CARLO EXPERIMENTS; QUANTILE REGRESSION; RISK MEASURES; SAMPLING PROPERTIES; VALUE AT RISKS;

RISK ASSESSMENT;

EID: 55349109939     PISSN: 15241904     EISSN: 15264025     Source Type: Journal    
DOI: 10.1002/asmb.729     Document Type: Conference Paper

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