Robustness and sensitivity analysis of risk measurement procedures
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Publication:3577148
DOI10.1080/14697681003685597zbMATH Open1192.91191OpenAlexW3124098225MaRDI QIDQ3577148FDOQ3577148
Authors: Rama Cont, Romain Deguest, Giacomo Scandolo 
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
Recommendations
expected shortfallrisk managementvalue-at-riskrisk measurementcoherent risk measureslaw invariant risk measures
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)
Cites Work
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