CAESar: Conditional Autoregressive Expected Shortfall
By Federico Gatta, Fabrizio Lillo, Piero Mazzarisi
Rating
1555
Battle Count: 199
Relevance
9/10
Highly relevant for risk management in quantitative trading strategies
Implementation Complexity
6/10
Requires understanding of quantile regression and autoregressive models, but code is provided
Reproducibility
4/5
Code and data availability mentioned, detailed methodology provided
About this paper
Methodology: CAESar. Problem types: Time Series Forecasting, Risk Management.
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