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Persistent link: https://www.econbiz.de/10010849583
In this paper we focus on the impact of additive level outliers on the calculation of risk measures, such as minimum capital risk requirements, and compare four alternatives of reducing these measures' estimation biases. The first three proposals proceed by detecting and correcting outliers...
Persistent link: https://www.econbiz.de/10008625889
Persistent link: https://www.econbiz.de/10010472010