Browsing by Subject "Location-Scale Model"
Now showing items 1-3 of 3
-
Nonparametric Prediction Interval for Conditional Expected Shortfall Admitting a Location-Scale Model using Bootstrap Method
(MksU Press, 2021-06)In financial risk management, the expected shortfall is a popular risk measure which is often considered as an alternative to Value-at-Risk. It is defined as the conditional expected loss given that the loss is greater ... -
Nonparametric Prediction Interval for Conditional Expected Shortfall Admittinga Location-Scale Model using Bootstrap Method
(Machakos University, 2019-04)Infinancialriskmanagement,theexpectedshortfallisapopularriskmeasurewhichisoften considered as an alternative to Value-at-Risk. It is defined as the conditional expected loss given that the loss is greater than a given ... -
A Three-Step Nonparametric Estimation of Conditional Value-At-Risk Admitting a Location-Scale Model
(Journal of Statistical and Econometric Methods, 2019)Financial institutions owners and regulators are concerned majorly about risk analysis, Value-at-Risk (VaR) is one of the most popular and common measures of risk used in finance, measures the down-side risk and is ...
