Uncertainty in Historical Value-at-Risk: An Alternative Quantile-Based Risk Measure

DOI10.1007/978-3-319-50234-2_10zbMath1383.91004OpenAlexW3121578657MaRDI QIDQ4609755

Dominique Guégan, Kehan Li, Bertrand K. Hassani

Publication date: 26 March 2018

Published in: Mathematical and Statistical Methods for Actuarial Sciences and Finance (Search for Journal in Brave)

Full work available at URL: https://halshs.archives-ouvertes.fr/halshs-01277880/file/16006.pdf

zbMATH Keywords

value-at-riskquantile-based risk measure

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Cites Work

• Extremes and related properties of random sequences and processes
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