Computation of the corrected Cornish–Fisher expansion using the response surface methodology: application to VaR and CVaR

Annals of Operations Research

Volumn 281, Issue 1-2, 2019, Pages 423-453

  Amédée Manesme, Charles Olivier ^a   Barthélémy, Fabrice ^b   Maillard, Didier ^c  

^a UNIVERSITÉ LAVAL   (Canada)

^b LABORATOIRE DES SCIENCES DU CLIMAT ET DE L ENVIRONNEMENT   (France)

^c Unité de Recherches Mesures Physiques Métrologie   (France)

Author keywords

Cornish Fisher expansion; Expected shortfall; Quantiles; Response surface methodology; Value at Risk

Indexed keywords

EID: 85045063325     PISSN: 02545330     EISSN: 15729338     Source Type: Journal    
DOI: 10.1007/s10479-018-2792-4     Document Type: Article

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