Robustness and sensitivity analysis of risk measurement procedures

  title={Robustness and sensitivity analysis of risk measurement procedures},
  author={R. Cont and Romain Deguest and Giacomo Scandolo},
  journal={Quantitative Finance},
  pages={593 - 606}
Measuring the risk of a financial portfolio involves two steps: estimating the loss distribution of the portfolio from available observations and computing a ‘risk measure’ that summarizes the risk of the portfolio. We define the notion of ‘risk measurement procedure’, which includes both of these steps, and introduce a rigorous framework for studying the robustness of risk measurement procedures and their sensitivity to changes in the data set. Our results point to a conflict between the… Expand
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