Workshop in Sao Paulo

Talk at the workshop in Sao Paulo, Thursday, on “estimation of quantile related risk measures“. The workshop also invited Claudia Kluppelberg, Richard Davis, and  Ermanno Pitacco to talk. Slides can be found here. And maybe to explain a bit more where this idea of beta-kernels and transformed kernel comes from, I should mention those slides (see here for a more detailed version of the slides, and there for the full version of the paper with Jean David Fermanian and Olivier Scaillet).

Leave a Reply

Your email address will not be published. Required fields are marked *

This site uses Akismet to reduce spam. Learn how your comment data is processed.