Since its proposal as an alternative risk measure to value-at-risk (VaR), expected shortfall (ES) has attracted a great deal of attention in financial risk management, primarily owing to its coherent ...

The Journal of the American Statistical Association (JASA) has long been considered the premier journal of statistical science. Science Citation Index reported JASA was the most highly cited journal ...

We give methods for the construction of designs for regression models, when the purpose of the investigation is the estimation of the conditional quantile function, and the estimation method is ...

Modified value-at-risk (mVaR) and modified expected shortfall (mES) are risk estimators that can be calculated without modeling the distribution of asset returns. These modified estimators use ...