Πλοήγηση NUP Academic Publications - Ακαδημαϊκές Δημοσιεύσεις ΠΝΠ ανά Θέμα "Ordered statistics"

  • Coherent risk measures under filtered historical simulation 

    Giannopoulos, Kostas; Tunaru, Radu (Elsevier, 2005-04)
    Recent studies have strongly criticised conventional VaR models for not providing a coherent risk measure. Acerbi provides the intuition for an entire family of coherent measures of risk known as “spectral risk measures” ...