Worst-case higher moment risk measure : addressing distributional shifts and procyclicality

Carlos Castro-Iragorri, Fabio Gómez, Nancy Quiceno

Year of publication:	2024
Authors:	Castro Iragorri, Carlos Alberto ; Gómez, Fabio ; Quiceno, Nancy
Published in:	Finance research letters. - New York : Elsevier Science, ISSN 1544-6123, ZDB-ID 2145766-9. - Vol. 65.2024, Art.-No. 105580, p. 1-8
Subject:	Expected shortfall \| Higher moment risk \| Procyclicality \| Stress testing \| Risikomaß \| Risk measure \| Konjunktur \| Business cycle \| Portfolio-Management \| Portfolio selection \| Statistische Verteilung \| Statistical distribution \| Risiko \| Risk \| Theorie \| Theory \| Risikomanagement \| Risk management \| Bankrisiko \| Bank risk

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