2 papers
q-fin.RM2019
calculation worst-case Value-at-Risk prediction using empirical data under model uncertainty
Wentao Hu
Quantification of risk positions under model uncertainty is of crucial importance from both viewpoints of external regulation and internal management. The concept of model uncertai…
q-fin.RM2019
SlideVaR: a risk measure with variable risk attitudes
Wentao Hu
To find a trade-off between profitability and prudence, financial practitioners need to choose appropriate risk measures. Two key points are: Firstly, investors' risk attitudes und…