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| Title: | | Central limit theorems for law-invariant coherent risk measures  |
| Authors: | | Belomestny, Denis Krätschmer, Volker |
| Issue Date: | | 2010 |
| Series/Report no.: | | SFB 649 discussion paper 2010-052 |
| Abstract: | | In this paper we study the asymptotic properties of the canonical plug-in estimates for law-invariant coherent risk measures. Under rather mild conditions not relying on the explicit representation of the risk measure under consideration, we first prove a central limit theorem for independent identically distributed data and then extend it to the case of weakly dependent ones. Finally, a number of illustrating examples is presented. |
| Subjects: | | law-invariant coherent risk measures canonical plug-in estimates functional central limit theorems weak dependence |
| JEL: | | D81 G32 |
| Document Type: | | Working Paper |
| Appears in Collections: | | SFB 649 Discussion Papers, HU Berlin
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