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q-fin.RM2022
Estimating and backtesting risk under heavy tails
Marcin Pitera, Thorsten Schmidt
While the estimation of risk is an important question in the daily business of banking and insurance, many existing plug-in estimation procedures suffer from an unnecessary bias. T…
q-fin.RM2019
Fair Estimation of Capital Risk Allocation
Tomasz R. Bielecki, Igor Cialenco, Marcin Pitera +1
In this paper we develop a novel methodology for estimation of risk capital allocation. The methodology is rooted in the theory of risk measures. We work within a general, but trac…