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Flexible Expected Shortfall Estimation Using Parametric & Non-Parametric Methods with Applications in Finance, Insurance & Climatology.
Sabyasachi Guharay
KC Chang
Jie Xu
Published in:
FUSION (2019)
Keyphrases
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semi parametric
preprocessing
significant improvement
computational cost
machine learning methods
cross validation
neural network
high dimensional
empirical studies
parameter estimation
machine learning algorithms
benchmark datasets
qualitative and quantitative
risk management
methods require