Robust measurement of (heavy-tailed) risks: Theory and implementation
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- repec:bla:jrinsu:v:84:y:2017:i:s1:p:459-475 is not listed on IDEAS
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More about this item
KeywordsDivergence estimation; Model risk; Risk management; Robustness; Sequential Monte Carlo;
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
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