A note on the statistical robustness of risk measures
Year of publication: |
June 2017
|
---|---|
Authors: | Zhelonkin, Mikhail ; Chavez-Demoulin, Valérie |
Published in: |
The journal of operational risk. - London : Infopro Digital, ISSN 1744-6740, ZDB-ID 2238989-1. - Vol. 12.2017, 2, p. 47-68
|
Subject: | expected shortfall (ES) | influence function | M-estimation | risk measures | robustness | value-at-risk (VaR) | Theorie | Theory | Risikomaß | Risk measure | Messung | Measurement | Robustes Verfahren | Robust statistics | Risiko | Risk | Risikomanagement | Risk management | Statistische Methode | Statistical method | Portfolio-Management | Portfolio selection |
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