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2010

2010

We use stochastic kriging, a metamodeling technique, to speed up nested simulation of expected shortfall, a portfolio risk… Expand

Highly Cited

2008

Highly Cited

2008

We propose exponentially weighted quantile regression (EWQR) for estimating time-varying quantiles. The EWQR cost function can be… Expand

Highly Cited

2007

Highly Cited

2007

The expected shortfall is an increasingly popular risk measure in financial risk management and it possesses the desired sub… Expand

Highly Cited

2007

Highly Cited

2007

Expectile models are derived using asymmetric least squares. A simple formula has been presented that relates the expectile to… Expand

Highly Cited

2005

Highly Cited

2005

Value-at-Risk (VaR) has become a standard risk measure for financial risk management. However, many authors claim that there are… Expand

Highly Cited

2005

Highly Cited

2005

Abstract This article shows that any coherent risk measure is given by a convex combination of expected shortfalls, and an… Expand

Highly Cited

2004

Highly Cited

2004

We consider a nonparametric method to estimate the expected shortfall—that is, the expected loss on a portfolio of financial… Expand

Highly Cited

2004

Highly Cited

2004

We consider a nonparametric method to estimate conditional expected shortfalls, i.e. conditional expected losses knowing that… Expand

Highly Cited

2002

Highly Cited

2002

We compare expected shortfall with value-at-risk (VaR) in three aspects: estimation errors, decomposition into risk factors, and… Expand

Highly Cited

2001

Highly Cited

2001

Fundamental properties of conditional value-at-risk (CVaR), as a measure of risk with significant advantages over value-at-risk… Expand