78 citations · 341 across the 31 of their papers we have counts for
Showing 2013Show all
2 papers · 1 filter
q-fin.RM2013
What is the best risk measure in practice? A comparison of standard measures
Susanne Emmer, Marie Kratz, Dirk Tasche
Expected Shortfall (ES) has been widely accepted as a risk measure that is conceptually superior to Value-at-Risk (VaR). At the same time, however, it has been criticised for issue…
math.PR2013★ 2 cited
The Law of Total Odds
Dirk Tasche
The law of total probability may be deployed in binary classification exercises to estimate the unconditional class probabilities if the class proportions in the training set are n…