Mikhail Zhelonkin

Erasmus University Rotterdam (EUR)

Burgemeester Oudlaan 50

3000 DR Rotterdam, Zuid-Holland 3062PA

Netherlands

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Scholarly Papers (1)

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A Note on the Statistical Robustness of Risk Measures

Journal of Operational Risk, Forthcoming
Number of pages: 22 Posted: 14 Jun 2017
Mikhail Zhelonkin and Valérie Chavez-Demoulin
Erasmus University Rotterdam (EUR) and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
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Abstract:

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expected shortfall (ES), influence function, M-estimation, risk measures, robustness, value-at-risk (VaR)