On risk management problems related to a coherence property

DOI10.1080/14697680500467889zbMath1132.91017OpenAlexW1989049629MaRDI QIDQ5475313

Frank J. Fabozzi, Radu S. Tunaru

Publication date: 16 June 2006

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680500467889

zbMATH Keywords

estimationvalue-at-riskmodel riskexpected shortfallcoherent measures

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Uses Software

• Dowd

Cites Work

• On the worst conditional expectation.
• Coherent Measures of Risk
• A new distribution-free quantile estimator
• Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall
• Local Expected Shortfall-Hedging in Discrete Time *
• Dual Stochastic Dominance and Quantile Risk Measures
• A comparison of quantile estimators
• Estimation of Value-at-Risk and Expected Shortfall based on Nonlinear Models of Return Dynamics and Extreme Value Theory