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

4 citations

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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…