Takashi Kato

activity

20092017

most citedVWAP Execution as an Optimal Strategy

15 citations · 48 across the 12 of their papers we have counts for

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2 papers · 1 filter

q-fin.RM2017★ 2 cited

Asymptotic Analysis for Spectral Risk Measures Parameterized by Confidence Level

Takashi Kato

We study the asymptotic behavior of the difference $Δ ρ_{α}^{X, Y} := ρ_{α} (X + Y) - ρ_{α} (X)$ as $α \to 1$ , where $ρ_{α}$ is a risk measure equipped with a confidence level parameter…

q-fin.RM2011★ 3 cited

Theoretical Sensitivity Analysis for Quantitative Operational Risk Management

Takashi Kato

We study the asymptotic behavior of the difference between the values at risk VaR(L) and VaR(L+S) for heavy tailed random variables L and S for application in sensitivity analysis…