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Worst-case higher moment risk measure: Addressing distributional shifts and procyclicality
Carlos Castro-Iragorri
, Fabio Gómez
, Nancy Quiceno
Faculty of Economics
urosario
Research output
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Contribution to Journal
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Research Article
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peer-review
1
Scopus citations
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Keyphrases
Risk Measures
100%
Distributional Shift
100%
Procyclicality
100%
Higher Moments
100%
Expected Shortfall
50%
Risk Assessment
25%
Innovative Approach
25%
Stress Testing
25%
Financial Cycle
25%
S&P 500
25%
Robust Solution
25%
Financial Risk Management
25%
Financial Risk Assessment
25%
Adaptive Features
25%
Computer Science
Risk Management
100%
Robust Solution
100%
Financial Cycle
100%
Economics, Econometrics and Finance
Financial Risk
100%
Financial Risk Management
100%
Social Sciences
Procyclicality
100%
Financial Risk
33%
Financial Risk Management
33%