Pro-cyclicality of risk measurements - empirical quantification and theoretical confirmation

Marcel Bräutigam

Year of publication:	[2020?]
Authors:	Bräutigam, Marcel
Publisher:	Paris
Subject:	quantile estimator \| Value-at-risk \| volatility \| asymptotic distribution \| correlation \| financial markets \| Risikomaß \| Risk measure \| Volatilität \| Volatility \| Schätztheorie \| Estimation theory \| Finanzmarkt \| Financial market \| Korrelation \| Correlation \| Schätzung \| Estimation \| ARCH-Modell \| ARCH model \| Risiko \| Risk \| Risikomanagement \| Risk management \| Statistische Verteilung \| Statistical distribution \| Portfolio-Management \| Portfolio selection

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