Spectral risk measures and uncertainty

Mohammed Berkhouch, Ghizlane Lakhnati and Marcelo Righi ()

Papers from arXiv.org

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.

Date: 2019-05
New Economics Papers: this item is included in nep-fmk and nep-rmg
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1905.07716

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