Dependent bootstrapping for value-at-risk and expected shortfall
Estimation in extreme financial risk is often faced with challenges such as the need for adequate distributional assumptions, considerations for data dependencies, and the lack of tail information. Bootstrapping provides an alternative that overcomes some of these challenges. It does not assume a di...
| Main Authors: | , , |
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| Format: | Journal Article |
| Published: |
2017
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| Online Access: | http://hdl.handle.net/20.500.11937/66949 |