Measuring risks in the tail: The extreme VaR and its confidence interval.

Dominique Guégan Bertrand Hassani Kehan Li

Published in: Risk Decis. Anal. (2017)

Keyphrases

confidence intervals
sample size
stochastic systems
markov chain
sufficiently small
risk management
monte carlo
chi square
information retrieval systems
learning algorithm
training data
high dimensional
data distribution
precision and recall
risk measures