GUPTA A, LIANG B. Do Hedge Funds Have Enough Capital? a Value-at-Risk Approach[J]. Journal of Financial Economics, 2005, 77(1): 219-253. doi: 10.1016/j.jfineco.2004.06.005
JIN C H, ZIOBROWSKI A. Using Value-at-Risk to Estimate Downside Residential Market Risk[J]. Journal of Real Estate Research, 2011, 33(3): 389-414. doi: 10.1080/10835547.2011.12091309
王智英. 浅谈基于在险价值的医院金融风险管理研究[J]. 现代经济信息, 2018(21): 269.
ACERBI C, TASCHE D. Expected Shortfall: a Natural Coherent Alternative to Value at Risk[J]. Economic Notes, 2002, 31(2): 379-388. doi: 10.1111/1468-0300.00091
ARTZNER P, DELBAEN F, EBER J M, et al. Coherent Measures of Risk[J]. Mathematical Finance, 1999, 9(3): 203-228. doi: 10.1111/1467-9965.00068
EL METHNI J, GARDES L, GIRARD S. Non-Parametric Estimation of Extreme Risk Measures from Conditional Heavy-Tailed Distributions[J]. Scandinavian Journal of Statistics, 2014, 41(4): 988-1012. doi: 10.1111/sjos.12078
DI BERNARDINO E, PRIEUR C. Estimation of the Multivariate Conditional Tail Expectation for Extreme Risk Levels: Illustration on Environmental Data Sets[J]. Environmetrics, 2018, 29(7): e2510. doi: 10.1002/env.2510
OUADJED H, MAMI T F. Estimating the Tail Conditional Expectation of Walmart Stock Data[J]. Croatian Operational Research Review, 2020, 11(1): 95-106. doi: 10.17535/crorr.2020.0008
THAPA S, ZHAO Y Q. Estimating Value at Risk and Conditional Tail Expectation for Extreme and Aggregate Risks[EB/OL]. 2021: arXiv: 2101. 12402. https://arxiv.org/abs/2101.12402.
JONES B L, ZITIKIS R. Risk Measures, Distortion Parameters, and Their Empirical Estimation[J]. Insurance: Mathematics and Economics, 2007, 41(2): 279-297. doi: 10.1016/j.insmatheco.2006.11.001
HERAS A J, BALBÁS B, VILAR J L. Conditional Tail Expectation and Premium Calculation[J]. Astin Bulletin, 2012, 42(1): 325-342.
COUSIN A, DI BERNARDINO E. On Multivariate Extensions of Conditional-Tail-Expectation[J]. Insurance: Mathematics and Economics, 2014, 55: 272-282. doi: 10.1016/j.insmatheco.2014.01.013
CHEN Y, WANG Z C, ZHANG Z J. Mark to Market Value at Risk[J]. Journal of Econometrics, 2019, 208(1): 299-321. doi: 10.1016/j.jeconom.2018.09.017
WANG X J, HU S H, YANG W Z. The Bahadur Representation for Sample Quantiles under Strongly Mixing Sequence[J]. Journal of Statistical Planning and Inference, 2011, 141(2): 655-662. doi: 10.1016/j.jspi.2010.07.008
BOSQ D. Nonparametric Statistics for Stochastic Processes[M]. New York: Springer New York, 1998.
ZHANG Q C, YANG W Z, HU S H. On Bahadur Representation for Sample Quantiles under α-Mixing Sequence[J]. Statistical Papers, 2014, 55(2): 285-299. doi: 10.1007/s00362-012-0472-z