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A Confidence Interval Procedure for Expected Shortfall Risk Measurement via Two-Level Simulation.

Hai LanBarry L. NelsonJeremy Staum
Published in: Oper. Res. (2010)
Keyphrases
  • confidence intervals
  • stochastic systems
  • sample size
  • markov chain
  • monte carlo
  • test set
  • chi square
  • risk neutral
  • roc curve
  • machine learning
  • decision trees
  • precision and recall
  • risk management
  • risk averse