Estimation of Expected Shortfall in Linear Model
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F23%3A00572530" target="_blank" >RIV/67985556:_____/23:00572530 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Estimation of Expected Shortfall in Linear Model
Original language description
The possibly incurred loss of a portfolio can be linearly affected by unobservable covariates, while we observe only the resulting response. We propose the method of estimating the true loss with the aidnof regression quantiles.n
Czech name
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Czech description
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Classification
Type
O - Miscellaneous
CEP classification
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OECD FORD branch
10103 - Statistics and probability
Result continuities
Project
<a href="/en/project/GA22-03636S" target="_blank" >GA22-03636S: Aggregation of Methodologies Based on Economic Data</a><br>
Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace
Others
Publication year
2023
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů