Risk measures in finance, Backtesting, Sensitivity and Robustness
M Rivoire - 2024 - theses.hal.science
In Chapter 1, we focus on two time transformations: the time-translation and the time-scaling
and on the related properties called the stationarity and the self-similarity. We prove the …
and on the related properties called the stationarity and the self-similarity. We prove the …