The Canadian Journal of Statistics / La Revue Canadienne de Statistique, Vol. 18, No. 2 (Jun., 1990), pp. 149-153 (5 pages) We show that the jackknife technique fails badly when applied to the problem ...
Modified value-at-risk (mVaR) and modified expected shortfall (mES) are risk estimators that can be calculated without modeling the distribution of asset returns. These modified estimators use ...
In risk management, estimating expected shortfall, though important and indispensable, is difficult when the sample size is small. This paper suggests a recipe for meeting such a challenge. A ...
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