英文标题：
《On a robust risk measurement approach for capital determination errors
minimization》
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作者：
Marcelo Brutti Righi, Fernanda Maria M\\\"uller and Marlon Ruoso Moresco
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最新提交年份：
2020
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英文摘要：
We propose a robust risk measurement approach that minimizes the expectation of overestimation plus underestimation costs. We consider uncertainty by taking the supremum over a collection of probability measures, relating our approach to dual sets in the representation of coherent risk measures. We provide results that guarantee the existence of a solution and explore the properties of minimizer and minimum as risk and deviation measures, respectively. An empirical illustration is carried out to demonstrate the use of our approach in capital determination.
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中文摘要：
我们提出了一种稳健的风险度量方法，将高估和低估成本的预期降至最低。我们通过对一组概率测度取上确界来考虑不确定性，将我们的方法与一致风险测度表示中的对偶集相关联。我们给出了保证解存在的结果，并分别探讨了极小值和极小值作为风险和偏差度量的性质。本文通过一个实证例子来说明我们的方法在资本确定中的应用。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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