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DTSTART:20130310T070000
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DTSTART;TZID=America/Toronto:20131126T160000
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URL:https://uwaterloo.ca/statistics-and-actuarial-science/events/watrisq-se
 minar-steven-kou-national-university-singapore
LOCATION:DC - William G. Davis Computer Research Centre 200 University Aven
 ue West 1304 Waterloo ON N2L 3G1 Canada
SUMMARY:WatRISQ seminar by Steven Kou\, National University of Singapore
CLASS:PUBLIC
DESCRIPTION:ROBUST MEASUREMENT OF ECONOMIC TAIL RISK\n\nWe prove that the o
 nly tail risk measure that satisfies a set of\neconomic axioms proposed by
  Schmeidler (1989\, Econometrica) and a\nstatistical requirement called el
 icitability (i.e. there exists an\nobjective function such that a reasonab
 le estimator must be a solution\nof minimizing the expected objective func
 tion) is the median\nshortfall\, which is the median of the tail loss dist
 ribution and is\nalso the VaR at a high confidence level.
DTSTAMP:20260404T204539Z
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