How do empirical estimators of popular risk measures impact pro-cyclicality?
Year of publication: |
2023
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Authors: | Bräutigam, Marcel ; Kratz, Marie |
Published in: |
Annals of actuarial science : publ. by the Institute of Actuaries and the Faculty of Actuaries. - Cambridge : Cambridge Univ. Press, ISSN 1748-5002, ZDB-ID 2418917-0. - Vol. 17.2023, 3, p. 547-579
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Subject: | (Filtered) Historical simulation | Asymptotic normality | Estimators | Expected shortfall | Expectile | Measure of dispersion | Pro-cyclicality | Risk measure | Sample quantile | Value-at-risk | Risikomaß | Messung | Measurement | Schätztheorie | Estimation theory | Portfolio-Management | Portfolio selection | Schätzung | Estimation | Simulation | Risiko | Risk | Stichprobenerhebung | Sampling |
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