%0 Journal Article
%T Nonparametric estimation and comparative analyses of ES in risk measure with applications<br>金融风险管理中ES度量的非参数方法的比较及其应用
%A LIU Xiao-qian
%A ZHOU Yong
%A <br>刘晓倩
%A 周勇
%J 系统工程理论与实践
%D 2011
%I 
%X Expected shortfall(ES) model developed recently is a powerful mathematical tool to measure and control financial risk.In this paper,two-step kernel smoothed processes are used to develop a two-step nonparametric estimator of ES.Comparisons between the proposed two-step kernel smoothed ES estimator to the existing fully empirical ES estimator and one-step kernel smoothing ES estimator were made by calculating expectation and variance of them.It is of great interest that the proposed two-step kernel smoothed ...
%K 预期不足(ES)
%K 风险价值(VaR)
%K α-混合
%K 两步核光滑ES估计
%K 风险调整收益(RAROC)
%U http://www.alljournals.cn/get_abstract_url.aspx?pcid=01BA20E8BA813E1908F3698710BBFEFEE816345F465FEBA5&cid=962324E222C1AC1D&jid=1D057D9E7CAD6BEE9FA97306E08E48D3&aid=06CC456625B7F20D5A2D39C9CFE9008E&yid=9377ED8094509821&vid=4AD960B5AD2D111A&iid=E158A972A605785F&sid=250DF325A002B9CC&eid=D33D61F62E4C72A7&journal_id=1000-6788&journal_name=系统工程理论与实践&referenced_num=0&reference_num=22