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Expected Shortfall for the Makespan in Activity Networks with Fuzzy Durations
IEEE Transactions on Fuzzy Systems
◽
10.1109/tfuzz.2021.3069340
◽
2021
◽
pp. 1-1
Author(s):
Gabriella Dellino
◽
Carlo Meloni
◽
Marco Pranzo
◽
Marcella Sama
Keyword(s):
Expected Shortfall
◽
Activity Networks
◽
Fuzzy Durations
Download Full-text
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Expected shortfall for the makespan in activity networks under imperfect information
Flexible Services and Manufacturing Journal
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10.1007/s10696-019-09358-3
◽
2019
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Vol 32
(3)
◽
pp. 668-692
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Carlo Meloni
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Marco Pranzo
Keyword(s):
Imperfect Information
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Backtesting general spectral risk measures with application to expected shortfall
The Journal of Risk Model Validation
◽
10.21314/jrmv.2015.131
◽
2015
◽
Vol 9
(1)
◽
pp. 21-31
◽
Cited By ~ 16
Author(s):
Nick Costanzino
◽
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Keyword(s):
Risk Measures
◽
Expected Shortfall
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Estimation risk for value-at-risk and expected shortfall
The Journal of Risk
◽
10.21314/jor.2018.376
◽
2018
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Author(s):
Paul Kabaila
◽
Rheanna Mainzer
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At Risk
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Value At Risk
◽
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◽
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Simulation of the annual loss distribution in operational risk via Panjer recursions and Volterra integral equations for value-at-risk and expected shortfall estimation
The Journal of Operational Risk
◽
10.21314/jop.2007.031
◽
2007
◽
Vol 2
(3)
◽
pp. 29-58
◽
Cited By ~ 17
Author(s):
Gareth Peters
◽
Adam Johansen
◽
Arnaud Doucet
Keyword(s):
At Risk
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Integral Equations
◽
Value At Risk
◽
Operational Risk
◽
Expected Shortfall
◽
Volterra Integral Equations
◽
Loss Distribution
◽
Annual Loss
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Efficient calculation of expected shortfall contributions in large credit portfolios
The Journal of Computational Finance
◽
10.21314/jcf.2007.162
◽
2007
◽
Vol 11
(2)
◽
pp. 1-43
◽
Cited By ~ 5
Author(s):
Michael Kalkbrener
◽
Anna Kennedy
◽
Monika Popp
Keyword(s):
Expected Shortfall
◽
Efficient Calculation
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Conditional Encompassing Test for Expected Shortfall Jointly Elicitable with Value-at-Risk
SSRN Electronic Journal
◽
10.2139/ssrn.3377805
◽
2019
◽
Author(s):
Xiaochun Liu
Keyword(s):
At Risk
◽
Value At Risk
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Expected Shortfall
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A Regression-based Joint Encompassing Test for Value-at-Risk and Expected Shortfall Forecasts
SSRN Electronic Journal
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10.2139/ssrn.3497321
◽
2019
◽
Author(s):
Xiaochun Liu
Keyword(s):
At Risk
◽
Value At Risk
◽
Expected Shortfall
◽
Encompassing Test
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Expected Shortfall – An Alternative Risk Measure to Value-at-Risk
SSRN Electronic Journal
◽
10.2139/ssrn.3514508
◽
2020
◽
Author(s):
Shiu-Wah Chu
◽
Ritabrata Bhattacharyya
Keyword(s):
At Risk
◽
Value At Risk
◽
Risk Measure
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Expected Shortfall
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Multivariate Quantile Regressions and EVT Approach to Expected Shortfall Estimation
SSRN Electronic Journal
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10.2139/ssrn.3557867
◽
2020
◽
Author(s):
Emilien Audeguil
Keyword(s):
Expected Shortfall
◽
Quantile Regressions
◽
Multivariate Quantile
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Nonparametric expected shortfall forecasting incorporating weighted quantiles
International Journal of Forecasting
◽
10.1016/j.ijforecast.2021.04.004
◽
2021
◽
Author(s):
Giuseppe Storti
◽
Chao Wang
Keyword(s):
Expected Shortfall
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