Search Institute

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…