Nonparametric estimation and sensitivity analysis of expected shortfall

Scaillet, Olivier

doi:10.1111/j.0960-1627.2004.00184.x

Scientific article

French

Nonparametric estimation and sensitivity analysis of expected shortfall

ContributorsScaillet, Olivier

Published inMathematical finance, vol. 14, no. 1, p. 115-129

Publication date2004

Affiliation entities

Faculté d'économie et de management / Geneva Finance Research Institute

Citation (ISO format)

SCAILLET, Olivier. Nonparametric estimation and sensitivity analysis of expected shortfall. In: Mathematical finance, 2004, vol. 14, n° 1, p. 115–129. doi: 10.1111/j.0960-1627.2004.00184.x

Article (Published version)

Identifiers

PID : unige:41799
DOI : 10.1111/j.0960-1627.2004.00184.x

Additional URL for this publicationhttp://www.istfin.eco.usi.ch/seminar-papers-Scailletshfall.pdf

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Nonparametric estimation and sensitivity analysis of expected shortfall

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