Central limit theorems for law-invariant coherent risk measures

Denis Belomestny and Volker Krätschmer

No 2010-052, SFB 649 Discussion Papers from Humboldt University Berlin, Collaborative Research Center 649: Economic Risk

Abstract: In this paper we study the asymptotic properties of the canonical plug-in estimates for law-invariant coherent risk measures. Under rather mild conditions not relying on the explicit representation of the risk measure under consideration, we first prove a central limit theorem for independent identically distributed data and then extend it to the case of weakly dependent ones. Finally, a number of illustrating examples is presented.

Keywords: law-invariant coherent risk measures; canonical plug-in estimates; functional central limit theorems; weak dependence (search for similar items in EconPapers)
JEL-codes: D81 G32 (search for similar items in EconPapers)
Date: 2010
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:sfb649:sfb649dp2010-052

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