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Search Institute

United States

1 paper here4 citations across 1
fields
  • q-fin.CP1
ROR 003agka18OpenAlex

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most citedStatistical Learning of Value-at-Risk and Expected Shortfall

4 citations

researchers with a paper here
  • Bouazza Saadeddine1 · h 3
  • David Barrera1 · h 4
  • Emmanuel Gobet1 · h 5
  • Hoang Nguyen1 · h 2
  • Stéphane Crépey1 · h 1
collaborating institutions
  • Centre de Mathématiques Appliquées de l'École polytechniqueFR1 paper
  • Centre National de la Recherche ScientifiqueFR1 paper
  • École PolytechniqueFR1 paper
  • SearchUS1 paper
  • Sorbonne Paris CitéFR1 paper
  • Universidad de Los AndesCO1 paper
  • Universidad Regional Autónoma de Los AndesEC1 paper
  • Université Paris CitéFR1 paper
  • Université Paris-SaclayFR1 paper

1 paper

q-fin.CP2022★ 4 cited

Statistical Learning of Value-at-Risk and Expected Shortfall

D Barrera, S Crépey, E Gobet +2

We propose a non-asymptotic convergence analysis of a two-step approach to learn a conditional value-at-risk (VaR) and a conditional expected shortfall (ES) using Rademacher bounds…

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