Value-at-Risk- and Expectile-based Systemic Risk Measures and Second-order Asymptotics: With Applications to Diversification
By Bingzhen Geng, Yang Liu, Yimiao Zhao
Rating
1757
Battle Count: 87
Relevance
8/10
Highly relevant for risk management and portfolio optimization in quantitative trading, especially for tail risk and systemic risk considerations
Implementation Complexity
7/10
Requires advanced mathematical knowledge and careful implementation of asymptotic expansions
Reproducibility
4/5
Detailed mathematical proofs and examples provided, but no code repository mentioned
About this paper
Methodology: Second-order asymptotic analysis. Problem types: Risk Management, Portfolio Optimization.
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