%0 Journal Article %T Nonparametric estimation and comparative analyses of ES in risk measure with applications
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
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