Spectral risk measures and uncertainty
Risk Management
2019-05-21 v1
Abstract
Risk assessment under different possible scenarios is a source of uncertainty that may lead to concerning financial losses. We address this issue, first, by adapting a robust framework to the class of spectral risk measures. Second, we propose a Deviation-based approach to quantify uncertainty. Furthermore, the theory is illustrated with a practical case study from NASDAQ index.
Cite
@article{arxiv.1905.07716,
title = {Spectral risk measures and uncertainty},
author = {Mohammed Berkhouch and Ghizlane Lakhnati and Marcelo Brutti Righi},
journal= {arXiv preprint arXiv:1905.07716},
year = {2019}
}