Krätschmer, Volker; Schied, Alexander; Zähle, Henryk - In: Finance and Stochastics 18 (2014) 2, pp. 271-295
When estimating the risk of a P&L from historical data or Monte Carlo simulation, the robustness of the estimate is important. We argue here that Hampel’s classical notion of qualitative robustness is not suitable for risk measurement, and we propose and analyze a refined notion of robustness...