Asymptotic consistency of risk functionals

David Wozabal and Nancy Wozabal

Journal of Nonparametric Statistics, 2009, vol. 21, issue 8, 977-990

Abstract: Risk measures are functionals on spaces of random variables designed to quantify financial risk. In this paper, we consider the statistical properties of plug-in estimates for the broad class of coherent, law invariant risk functionals. In particular, we provide several sets of sufficient conditions to establish asymptotic consistency based on a general representation result for this class of functionals. We demonstrate the applicability of our approach by applying it to several well-known examples of risk functionals.

Date: 2009
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Citations: View citations in EconPapers (2)

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DOI: 10.1080/10485250903060592

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