Special Issue "Estimation of Risk Measures from Data -- Estimators, Computation, Robustness and Elicitability"
A special issue of Risks (ISSN 2227-9091).
Deadline for manuscript submissions: 30 November 2019.
Prof. Dr. Peter Ruckdeschel
Computation of risk measures for both regulatory and internal use has become daily use in financial services, banking and insurances, but also beyond. This touches several statistical aspects with many open questions and issues and is reflected by the following (non-exhaustive) list of topics:
+ statistical models (parametric, non-parametric, semi-parametric)
+ stability and efficiency of estimates (in terms of precision and computional time)
+ acceptable model assumptions (e.g., stationarity, ergodicity)
+ statistical models for dependence in the underlyings (and their stability)
+ regime switching models
+ recovery times of risk measure estimates after shocks
+ weighting schemes for observations
+ decisions on rolling/growing/disjoint windows for estimation and validation
+ estimators derived from extreme value statistics
+ behaviour as to outliers, missing values and/or with violated model assumptions
+ elicitability and fair ranking of procedures
+ accounting for time dependence in validity tests
+ bootstrap strategies to assess precision
+ bias considerations
+ influence functions/sensitivity curves
The aim of this special issue is to address some of these topics and related ones in high quality papers which may cover both theoretical, simulational and empirical results. A particular focus in these papers should lie on the impact of these results on the use of risk measures in daily business.
Prof. Dr. Peter Ruckdeschel
Manuscript Submission Information
Manuscripts should be submitted online at www.mdpi.com by registering and logging in to this website. Once you are registered, click here to go to the submission form. Manuscripts can be submitted until the deadline. All papers will be peer-reviewed. Accepted papers will be published continuously in the journal (as soon as accepted) and will be listed together on the special issue website. Research articles, review articles as well as short communications are invited. For planned papers, a title and short abstract (about 100 words) can be sent to the Editorial Office for announcement on this website.
Submitted manuscripts should not have been published previously, nor be under consideration for publication elsewhere (except conference proceedings papers). All manuscripts are thoroughly refereed through a single-blind peer-review process. A guide for authors and other relevant information for submission of manuscripts is available on the Instructions for Authors page. Risks is an international peer-reviewed open access quarterly journal published by MDPI.
Please visit the Instructions for Authors page before submitting a manuscript. The Article Processing Charge (APC) for publication in this open access journal is 1000 CHF (Swiss Francs). Submitted papers should be well formatted and use good English. Authors may use MDPI's English editing service prior to publication or during author revisions.
- Risk Measures
- Statistics in Finance
- Robust Statistics