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A note on the statistical robustness of risk measures
Zhelonkin, Mikhail; Chavez-Demoulin, Valérie - In: The journal of operational risk 12 (2017) 2, pp. 47-68
Persistent link: https://www.econbiz.de/10011775516
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Tail subadditivity of distortion risk measures and multivariate tail distortion risk measures
Cai, Jun; Wang, Ying; Mao, Tiantian - In: Insurance / Mathematics & economics 75 (2017), pp. 105-116
Persistent link: https://www.econbiz.de/10011740761
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Using experts' noisy quantile judgments to quantify risks : theory and application to agribusiness
Bansal, Saurabh; Gutierrez, Genaro J.; Keiser, John R. - In: Operations research 65 (2017) 5, pp. 1115-1130
Persistent link: https://www.econbiz.de/10011757251
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The use of the triangular approximation for some complicated risk measurement calculations
Georgiopoulos, Nick - In: The journal of risk model validation 11 (2017) 3, pp. 69-98
Persistent link: https://www.econbiz.de/10011762994
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Finite difference methods for estimating marginal risk contributions in asset management
Olschewsky, Michael; Lüdemann, Stefan; Poddig, Thorsten - In: Journal of risk 18 (2016) 5, pp. 63-99
Persistent link: https://www.econbiz.de/10011598391
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Nonparametric estimation of operational value-at-risk (OpVaR)
Tursunalieva, Ainura; Silvapulla, Param - In: Insurance / Mathematics & economics 69 (2016), pp. 194-201
Persistent link: https://www.econbiz.de/10011530959
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Estimation risk for value-at-risk and expected shortfall
Kabaila, Paul; Mainzer, Rheanna - In: Journal of risk 20 (2017/2018) 3, pp. 29-47
Persistent link: https://www.econbiz.de/10011847463
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Conditional value-at-risk and average value-at-risk : estimation and asymptotics
Chun, So Yeon; Shapiro, Alex; Uryasev, Stan - In: Operations research 60 (2012) 4, pp. 739-756
Persistent link: https://www.econbiz.de/10009627501
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Maximum likelihood estimation error an operational value-at-risk stability
Larsen, Paul - In: The journal of operational risk 14 (2019) 1, pp. 1-23
Persistent link: https://www.econbiz.de/10012052373
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Measuring tail operational risk in univariate and multivariate models with extreme losses
Yang, Yang; Gong, Yishan; Liu, Jiajun - In: The journal of operational risk 18 (2023) 1, pp. 31-57
Persistent link: https://www.econbiz.de/10014490082