36 citations · 80 across the 15 of their papers we have counts for
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math.PR2017★ 2 cited
Risk concentration under second order regular variation
Bikramjit Das, Marie Kratz
Measures of risk concentration and their asymptotic behavior for portfolios with heavy-tailed risk factors is of interest in risk management. Second order regular variation is a st…
math.PR2017
Heavy-tailed random walks, buffered queues and hidden large deviations
Harald Bernhard, Bikramjit Das
It is well-known that large deviations of random walks driven by independent and identically distributed heavy-tailed random variables are governed by the so-called principle of on…
q-fin.RM2017
Worst-Case Expected Shortfall with Univariate and Bivariate Marginals
Anulekha Dhara, Bikramjit Das, Karthik Natarajan
Worst-case bounds on the expected shortfall risk given only limited information on the distribution of the random variables has been studied extensively in the literature. In this…