0572530 20240402214021.820230604235959.9 13 s. E cav_un_epca*057405229-30ToulouseToulouse School of Economics2023 Linear model Expected shortfall Regression quantile cav_un_auth*0368969 Jurečková Jana UTIA-B Stochastická informatika Department of Stochastic Informatics SI SI CZ A Ústav teorie informace a automatizace AV ČR, v. v. i. http://library.utia.cas.cz/separaty/2023/SI/jureckova-0572530.pdf GA22-03636S GA ČR CZ cav_un_auth*0435411 The possibly incurred loss of a portfolio can be linearly affected by unobservable covariates, while we observe only the resulting response. We propose the method of estimating the true loss with the aid of regression quantiles. cav_un_auth*0450849 International Conference on Robust Statistics 2023 20230523 20230526 Toulouse FR BB 10000 10100 10103 2024 1 PR RVO:67985556 https://hdl.handle.net/11104/0344415 S 2023 SCOPUS PUBMED WOS cav_un_epca*0574052 ICORS 2023 = Book of abstracts Toulouse School of Economics 2023 Toulouse 29 30