GitHub - QuantLet/SRMC: Investigates sensitivity of risk measures including Value-at-Risk, expected-shortfall and expectile-quantile transformation level in the framework of Huber (1964), i.e., considerting the underlying model is in an epsilon-neighborhood of the pre-supposed ideal model. Obtains approximations of these tail-related risk measures based on the pre-supposed ideal model and its heavy contamination model, which are determined by the heaviness of the contamination model and its contaminaiton level. Illustrates also the influence function of the risk measures involved in the presence of infintestimal contamination. Gives typical examples including the normal, Laplace and Power-like contaminations and the numerical study as well. Applies theoretical approximations into the benchmark cryptocurrency market index, that is the CRIX. Finds out the heavier tendency of the recent CRIX.

Branches Tags

Name		Name	Last commit message	Last commit date
Latest commit History 39 Commits
SRMC_Estimation_crix		SRMC_Estimation_crix
SRMC_QQ_ME_crix		SRMC_QQ_ME_crix
SRMC_RelativeError_epsilon		SRMC_RelativeError_epsilon
SRMC_crix		SRMC_crix
SRMCappr_alpha		SRMCappr_alpha
SRMCappr_epsilon		SRMCappr_epsilon
SRMCappr_epsilon_alpha		SRMCappr_epsilon_alpha
.gitattributes		.gitattributes

About

Investigates sensitivity of risk measures including Value-at-Risk, expected-shortfall and expectile-quantile transformation level in the framework of Huber (1964), i.e., considerting the underlying model is in an epsilon-neighborhood of the pre-supposed ideal model. Obtains approximations of these tail-related risk measures based on the pre-supp…