Backtesting Expected Shortfall: Accounting for Tail Risk

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Backtesting Expected Shortfall: Accounting for Tail Risk

Du, Zaichao, Escanciano, Juan Carlos
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Year:
2015
Language:
english
Journal:
SSRN Electronic Journal
DOI:
10.2139/ssrn.2548544
File:
PDF, 267 KB
english, 2015
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