Elicitability and identifiability of tail risk measures

By Tobias Fissler, Fangda Liu, Ruodu Wang, Linxiao Wei

Published 2024-07-02

Everscope rating

1563.1

Relevance to quantitative trading

8 / 10

Implementation complexity

7 / 10

Reproducibility

4 / 5

About this paper

Methodology: Theoretical analysis. Problem types: Risk Management.

arXiv:2404.14136 · Paper rankings

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