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Monetary Risk Measures - A Short Review

Presented by: 
S Weber Leibniz Universität Hannover
Wednesday 5th November 2014 - 10:00 to 11:00
INI Seminar Room 2
Banks and insurance companies typically use distribution-based risk measures for the evaluation of their downside risks. The talk reviews the theory of monetary risk measures including their statistical properties. Recently, some authors emphasized the significance of the elicitability of risk measures, a notion closely related to Huber's M-estimators and quantile regression. We characterize elicitable distribution-based risk measures and analyze the notion of generalized Hampel-robustness.
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University of Cambridge Research Councils UK
    Clay Mathematics Institute London Mathematical Society NM Rothschild and Sons