Estimation of the Marginal Expected Shortfall: the Mean When a Related Variable is Extreme
Work
Year: 2014
Type: article
Abstract: Summary Denote the loss return on the equity of a financial institution as X and that of the entire market as Y. For a given very small value of p > 0, the marginal expected shortfall (MES) is ... more
Institutions Delft University of Technology, Tilburg University, University of Lisbon, Erasmus University Rotterdam, De Nederlandsche Bank +1 more
Cites: 25
Cited by: 96
Related to: 10
FWCI: 7.627
Citation percentile (by year/subfield): 99.99
Subfield: Finance
Domain: Social Sciences
Open Access status: green