Lerby Murat Ergun

London School of Economics & Political Science (LSE)

Houghton Street

London, WC2A 2AE

United Kingdom

SCHOLARLY PAPERS

2

DOWNLOADS

110

CITATIONS

0

Scholarly Papers (2)

1.

Challenges in Implementing Worst-Case Analysis

Number of pages: 8 Posted: 15 Mar 2017
Jon Danielsson, Lerby Murat Ergun and Casper G. de Vries
London School of Economics - Systemic Risk Centre, London School of Economics & Political Science (LSE) and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
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Abstract:

Worst-case analysis, EVT, quantile estimator, risk management

2.

Tail Index Estimation: Quantile Driven Threshold Selection

Number of pages: 74 Posted: 18 Jan 2016
London School of Economics - Systemic Risk Centre, London School of Economics & Political Science (LSE), Erasmus University Rotterdam (EUR) - Department of Econometrics and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
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Abstract:

Hill estimator, Heavy tails, Optimal extreme sample fraction