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Presentations at an Academic or Professional conference (2017), 2017 IASSL 3rd International Conference - Statistics for Good Governance

An Implicit Backtest for Expected Shortfall via a Simple Multinomial Approach

KRATZ Marie , LOK Y., MCNEIL A.

KRATZ, M., LOK, Y. and MCNEIL, A. (2017). An Implicit Backtest for Expected Shortfall via a Simple Multinomial Approach. In: 2017 IASSL 3rd International Conference - Statistics for Good Governance.