Value-at-Risk- and Expectile-based Systemic Risk Measures and Second-order Asymptotics: With Applications to Diversification

By Bingzhen Geng, Yang Liu, Yimiao Zhao

Published 2024-04-27

Everscope rating

1826.3

Relevance to quantitative trading

8 / 10

Implementation complexity

7 / 10

Reproducibility

4 / 5

About this paper

Methodology: Second-order asymptotic analysis. Problem types: Risk Management, Portfolio Optimization.

arXiv:2404.18029 · Paper rankings

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