Title :
Robust estimation analytics for financial risk management
Author :
Green, H.G. ; Martin, R. Douglas ; Pearson, M.A.
Author_Institution :
Market Data Syst. Ltd., London, UK
Abstract :
An investigation is carried out to demonstrate the effect of data frequency and the use of robust and non-robust techniques for determining risk parameters. The results are for foreign exchange rates but are expected to apply to market price data in general
Keywords :
estimation theory; financial data processing; foreign exchange trading; risk management; data frequency; financial risk management; foreign exchange rates; market price data; nonrobust techniques; risk parameters; robust estimation analytics; robust techniques; Current measurement; Exchange rates; Financial management; Frequency measurement; Loss measurement; Risk analysis; Risk management; Robustness; Statistical distributions; Time measurement;
Conference_Titel :
Computational Intelligence for Financial Engineering, 1996., Proceedings of the IEEE/IAFE 1996 Conference on
Conference_Location :
New York City, NY
Print_ISBN :
0-7803-3236-9
DOI :
10.1109/CIFER.1996.501844
