On Joint Marginal Expected Shortfall and Associated Contribution Risk Measures

By Tong Pu, Yifei Zhang, Yiying Zhang

Published 2024-05-13

Everscope rating

1742.8

Relevance to quantitative trading

8 / 10

Implementation complexity

7 / 10

Reproducibility

4 / 5

About this paper

Methodology: Theoretical analysis and empirical application. Problem types: Risk Management, Systemic Risk Measurement.

arXiv:2405.07549 · Paper rankings

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