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Photo du rédacteurHélène Dufour

A Novel Scaling Approach for Unbiased Adjustment of Risk Estimators

The paper introduces a new approach to risk scaling, addressing challenges like limited data and heavy tails in risk assessment. It offers a robust, conservative method for estimating capital reserves, going beyond traditional scaling laws. The proposed framework improves long-term risk estimation, risk transfers, and backtesting performance, with empirical validation.


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