Spectral Risk Measures
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Spectral Risk Measures
Spectral Risk Measures (SRM) as Coherent risk measure, Exponential SRM, Power SRM and its application
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Requirements
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General Overview
Description
This courselet will cover Spectral Risk Measures (SRM) as Coherent risk measure, the comparison of Value at Risk (VaR), Expected Shortfall (ES) and SRM. We will introduce Exponential SRM, Power SRM and show its application.
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Meet the instructors !
About the Instructor
Xingjia Wang is currently a PhD student at the International Research Training Group (IRTG) 1792 “High Dimensional Nonstationary Time Series” and Blockchain Research Center (BRC) of the Humboldt-Universität zu Berlin.