Download This PaperEstimation Error of Expected Shortfall
7 Pages Posted: 25 Feb 2014
Date Written: February 24, 2014
Abstract
The problem of estimation error of Expected Shortfall is analyzed, with a view of its introduction as a global regulatory risk measure.
Keywords: quantitative finance, portfolio management, risk measures
Suggested Citation: Suggested Citation
Kondor, Imre, Estimation Error of Expected Shortfall (February 24, 2014). Available at SSRN: https://ssrn.com/abstract=2400401 or http://dx.doi.org/10.2139/ssrn.2400401
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