Home
http://www.risk.net/
Homeen-gbEstimation risk for value-at-risk and expected shortfallThis paper provides a detailed analysis of the relationship between approximate VaR (ES) and exact VaR (ES) by finding a linear regression model in which the response variable is the approximate VaR (ES) and the explanatory variable is the exact VaR (ES), over a large number of simulation runs.
https://www.risk.net/journal-of-risk/5388396/estimation-risk-for-value-at-risk-and-expected-shortfall
https://www.risk.net/journal-of-risk/5388396/estimation-risk-for-value-at-risk-and-expected-shortfall
Fri, 26 Jan 2018 11:56:46 +0000