On estimating the conditional expected s
β
Franco Peracchi; Andrei V. Tanase
π
Article
π
2008
π
John Wiley and Sons
π
English
β 492 KB
## Abstract Unlike the value at risk, the expected shortfall is a coherent measure of risk. In this paper, we discuss estimation of the expected shortfall of a random variable __Y__~__t__~ with special reference to the case when auxiliary information is available in the form of a set of predictors