We use influence functions as a basic tool to study unconditional nonparametric and parametric expected shortfall (ES) estimators with regard to returns data influence, standard errors and coherence.
Parametric tests make assumptions that aspects of the data follow some sort of theoretical probability distribution. Non-parametric tests or distribution free methods do not, and are used when the ...
Value-at-risk (VaR) is one of the most common risk measures used in finance. The correct estimation of VaR is essential for any financial institution, in order to arrive at the accurate capital ...
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