Marcin Pitera

Jagiellonian University in Krakow - Department of Mathematics

Collegium Novum

Krakow

Poland

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Scholarly Papers (1)

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Unbiased Estimation of Risk

Number of pages: 26 Posted: 27 Dec 2016 Last Revised: 02 Sep 2017
Marcin Pitera and Thorsten Schmidt
Jagiellonian University in Krakow - Department of Mathematics and University of Freiburg
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Abstract:

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value-at-risk, tail value-at-risk, expected shortfall, risk measure, estimation of risk measures, bias, risk estimation, elicitability, backtest, unbiased estimation of risk measures