Unbiased estimation of risk

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چکیده

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Unbiased estimation of risk

The estimation of risk measured in terms of a risk measure is typically done in two steps: in the first step, the distribution is estimated by statistical methods, either parametric or nonparametric. In the second step, the estimated distribution is considered as true distribution and the targeted risk-measure is computed. In the parametric case this is achieved by using the formula for the ris...

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ژورنال

عنوان ژورنال: Journal of Banking & Finance

سال: 2018

ISSN: 0378-4266

DOI: 10.1016/j.jbankfin.2018.04.016