Backtesting Expected Shortfall: Accounting for Tail Risk.

Zaichao Du Juan-Carlos Escanciano

Published in: Manag. Sci. (2017)

Keyphrases

risk neutral
risk management
opportunity cost
risk averse
website
high risk
decision making
risk assessment
risk measures
data sets
multiscale
multi agent
state space
heavy tailed
machine learning
minimum risk
database