Alex Yu

Georgia State University

35 Broad Street

Atlanta, GA 30303-3083

United States

SCHOLARLY PAPERS

2

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39

SSRN CITATIONS

1

CROSSREF CITATIONS

0

Scholarly Papers (2)

1.

An Efficient Approach to Quantile Capital Allocation and Sensitivity Analysis

Forthcoming in Mathematical Finance
Number of pages: 32 Posted: 20 Dec 2018
Cass Business School, City, University of London, Georgia State University - Risk Management & Insurance Department, University of Waterloo - Department of Statistics and Actuarial Science and Georgia State University
Downloads 38 (470,029)
Citation 1

Abstract:

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Bootstrap, Capital Allocation, Expected Shortfall, Nonparametric Estimation, Sensitivity Analysis, Value-at-Risk

2.

An Efficient Approach to Quantile Capital Allocation and Sensitivity Analysis

Mathematical Finance, Vol. 29, Issue 4, pp. 1131-1156, 2019
Number of pages: 26 Posted: 29 May 2020
City University, Georgia State University, University of Waterloo - Department of Statistics and Actuarial Science and Georgia State University
Downloads 1 (708,149)
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Abstract:

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bootstrap, capital allocation, expected shortfall, nonparametric estimation, sensitivity analysis, value‐at‐risk