How Sensitive are Tail-related Risk Measures in a Contamination Neighbourhood?
Year of publication: |
2018
|
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Authors: | Härdle, Wolfgang Karl ; Ling, Chengxiu |
Publisher: |
Berlin : Humboldt-Universität zu Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" |
Subject: | Sensitivity | expected shortfall | expectile | Value-at-Risk | risk management | influence function | CRIX |
Series: | IRTG 1792 Discussion Paper ; 2018-010 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | hdl:10419/230721 [Handle] RePEc:zbw:irtgdp:2018010 [RePEc] |
Classification: | C13 - Estimation ; G10 - General Financial Markets. General ; G31 - Capital Budgeting; Investment Policy |
Source: |
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How Sensitive are Tail-Related Risk Measures in a Contamination Neighbourhood?
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How Sensitive are Tail-Related Risk Measures in a Contamination Neighbourhood?
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