Robustness and sensitivity analysis of risk measurement procedures
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Publication:3577148
DOI10.1080/14697681003685597zbMath1192.91191OpenAlexW3124098225MaRDI QIDQ3577148
Giacomo Scandolo, Rama Cont, Romain Deguest
Publication date: 5 August 2010
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697681003685597
coherent risk measuresvalue-at-riskrisk managementexpected shortfallrisk measurementlaw invariant risk measures
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)
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