paper
Loss-Based Risk Measures
Rama Cont, Romain Deguest, Xuedong He
risk managementarxiv
Description
Starting from the requirement that risk measures of financial portfolios should be based on their losses, not their gains, we define the notion of loss-based risk measure and study the properties of this class of risk measures. We characterize loss-based risk measures by a representation theorem and give examples of such risk measures. We then discuss the statistical robustness of estimators of loss-based risk measures: we provide a general criterion for qualitative robustness of risk estimators...
Similar Books
paper
Quantitative mode stability for the wave equation on the Kerr-Newman spacetime
Damon Civin
Quantitative mode stability for the wave equation on the Kerr-Newman spacetime
paper
Risk-Aware Objective-Based Forecasting in Inertia Management
Haipeng Zhang, Ran Li, Yan Chen, Zhongda Chu, Mingyang Sun
Risk-Aware Objective-Based Forecasting in Inertia Management
paper
Chainalysis: Geography of Cryptocurrency 2023
Chainalysis
Chainalysis: Geography of Cryptocurrency 2023
paper
Periodicity in Cryptocurrency Volatility and Liquidity
Peter Reinhard Hansen, Chan Kim, Wade Kimbrough
Periodicity in Cryptocurrency Volatility and Liquidity
paper
Impact of Geometric Uncertainty on the Computation of Abdominal Aortic Aneurysm Wall Strain
Saeideh Sekhavat, Mostafa Jamshidian, Adam Wittek, Karol Miller
Impact of Geometric Uncertainty on the Computation of Abdominal Aortic Aneurysm Wall Strain
paper
Simulation-based Bayesian inference with ameliorative learned summary statistics -- Part I
Getachew K. Befekadu
Simulation-based Bayesian inference with ameliorative learned summary statistics -- Part I