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Jun 12, 2020 -
Volumen 3 - Métricas de centralidad de las redes de correlación de palabras clave Descripción
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May 15, 2024 -
Replication Data for: Worst-Case Higher Moment Risk Measure: Addressing Distributional Shifts and Procyclicality
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May 15, 2024
This paper addresses the inherent procyclicality in widely adopted financial risk measures, such as expected shortfall (ES). We propose an innovative approach utilizing the worst-case higher moment (HM) risk measure, which offers a robust solution to distributional shifts by inco... |