Sensitivity Analysis of Distortion Risk Measures

Series
Working Paper
Year
2006
Keywords
Value-at-Risk, Tail-VaR, Loss-Given-Default, Distortion Risk Measure, Implied Pessimism Parameter, Empirical Process
Categories
New Risk Measures
Publications
Centre de Recherche en Economie et Statistique
Authors
Gourieroux, C.
Liu, W.