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Title:Central limit theorems for law-invariant coherent risk measures PDF Logo
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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