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Year of publication
Subject
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Measurement 1 Messung 1 Risiko 1 Risikomanagement 1 Risikomaß 1 Risk 1 Risk management 1 Risk measure 1 Theorie 1 Theory 1
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Free 1
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Book / Working Paper 1
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English 1
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Bräutigam, Marcel 1 Dacorogna, Michel M. 1 Kratz, Marie 1
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ESSEC Working Paper 1803, February 2018 1
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ECONIS (ZBW) 1
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Predicting Risk with Risk Measures : An Empirical Study
Bräutigam, Marcel - 2018
In this study we consider the risk estimation as a stochastic process based on the Sample Quantile Process (SQP) - which is a generalization of the Value-at-Risk calculated on a rolling sample. Using SQP's, we are able to show and quantify the pro-cyclicality of the current way financial...
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