Constructing Axiomatic Data-based Risk Measures

April 13, 2012




Risk managers must build models from data in order to asses risk. A part of my research program involves studying risk measures that take data directly as input without further model assumptions. Data-based risk measures can be coherently defined from a set of axioms yielding interesting families. 

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Department of Mathematics and Statistics

University of Montreal

© 2016 by Manuel Morales.

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