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Distributionally Robust Inference for Extreme Value-at-Risk
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Distributionally Robust Inference for Extreme Value-at-Risk

Robert Yuen
Stilian A. Stoev
D. Cooley
ArXiv (abs)PDFHTML

Papers citing "Distributionally Robust Inference for Extreme Value-at-Risk"

2 / 2 papers shown
Title
Smoothed $f$-Divergence Distributionally Robust Optimization
Smoothed ff-Divergence Distributionally Robust Optimization
Zhen-Yan Liu
Bart P. G. Van Parys
Henry Lam
58
6
0
24 Jun 2023
Estimating and backtesting risk under heavy tails
Estimating and backtesting risk under heavy tails
Marcin Pitera
Thorsten Schmidt
17
5
0
20 Oct 2020