• DocumentCode
    1730946
  • 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
  • fYear
    1996
  • Firstpage
    190
  • Lastpage
    198
  • 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;
  • fLanguage
    English
  • Publisher
    ieee
  • 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
  • Type

    conf

  • DOI
    10.1109/CIFER.1996.501844
  • Filename
    501844
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=1730946