On the estimation of Value-at-Risk and Expected Shortfall at extreme levels-Reference-Cited by-同舟云学术

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On the estimation of Value-at-Risk and Expected Shortfall at extreme levels

Published:2024-06 Issue: Volume:34 Page:100391
ISSN:2405-8513
Container-title:Journal of Commodity Markets
language:en
Short-container-title:Journal of Commodity Markets

Author:

Lazar Emese,Pan Jingqi^ORCID,Wang Shixuan^ORCID

Publisher

Elsevier BV

Reference35 articles.

1. Expected shortfall: a natural coherent alternative to value at risk;Acerbi;Econ. Notes,2002

2. Coherent measures of risk;Artzner;Math. Finance,1999

3. Fundamental review of the trading book: A revised market risk framework;Basel Committee on Banking Supervision,2013

4. Extreme-quantile tracking for financial time series;Chavez-Demoulin;J. Econometrics,2014

5. On exactitude in financial regulation: Value-at-risk, expected shortfall, and expectiles;Chen;Risks,2018

Cited by 1 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. k-Nearest Neighbors Estimator for Functional Asymmetry Shortfall Regression;Symmetry;2024-07-19

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