1 Papers
Vasile Glavan is an academic researcher from Siedlce University of Natural Sciences and Humanities. The author has contributed to research in topics: Risk management & Expected shortfall. The author has co-authored 1 publications.
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Papers
Expected shortfall and Harell-Davis estimators of value-at-risk
Leszek Gadomski,Vasile Glavan +1 more
- 01 Jan 2010
TL;DR: The most widely used estimator for the value-at-risk is the corresponding order statistic as mentioned in this paper, which relies on a single historic observation date, therefore it can exhibit high variability and provides little information about the distribution of losses around the tail.