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Modified estimators of the expected shortfall

Jadhav, Deepak, Ramanathan, T.V. and Nimbalkar, U.V. Naik

Modified estimators of the expected shortfall 2009 - 2009 - 87-107 V. 8 Issue. 2

Subjects--Topical Terms:
Finance

Subjects--Index Terms: Value at risk;Expected shortfall;Historical method;Backtesting;Bootstrap;

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