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Estimation of Expected Shortfall in Linear Model
- 1.0572530 - ÚTIA 2024 RIV FR eng C - Conference Paper (international conference)
Jurečková, Jana
Estimation of Expected Shortfall in Linear Model.
ICORS 2023 = Book of abstracts. Toulouse: Toulouse School of Economics, 2023, s. 29-30.
[International Conference on Robust Statistics 2023. Toulouse (FR), 23.05.2023-26.05.2023]
R&D Projects: GA ČR(CZ) GA22-03636S
Institutional support: RVO:67985556
Keywords : Linear model * Expected shortfall * Regression quantile
OECD category: Statistics and probability
http://library.utia.cas.cz/separaty/2023/SI/jureckova-0572530.pdf
The possibly incurred loss of a portfolio can be linearly affected by unobservable covariates, while we observe only the resulting response. We propose the method of estimating the true loss with the aid
of regression quantiles.
Permanent Link: https://hdl.handle.net/11104/0344415
Number of the records: 1