Concepedia

Nonparametric Risk Estimation

Nonparametric Risk Estimation is a risk estimation method that quantifies potential losses or uncertainties without assuming a specific parametric form for the underlying probability distribution, relying instead on empirical data and distribution-free techniques to model risk.

70

Publications

4.3K

Citations

150

Authors

125

Institutions

Publications per year

2017–2026

11

Variants

Non-parametric Risk Estimation

Parents

Publications

70

Nonparametric risk management and implied risk aversion

Yacine Aı̈t-Sahalia, Andrew W. Lo · Journal of Econometrics · 2000 · 780 citations

, , +14

The Estimation of Prediction Error

Bradley Efron · Journal of the American Statistical Association · 2004 · 470 citations

, , +16

Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall

Olivier Scaillet · Mathematical Finance · 2003 · 282 citations · Full text

, , +17

Nonparametric statistical inverse problems

Laurent Cavalier · Inverse Problems · 2008 · 176 citations

, , +16

Nonparametric Estimation of Expected Shortfall

Song Xi Chen · Journal of Financial Econometrics · 2007 · 160 citations · Full text

, , +16

1–5 of 70

Authors

150

  1. MG
    Mark G. Low

    University of Pennsylvania, United States

    4 publications · 198 citations

    4

    h-index

  2. JV
    José Valentim Machado Vicente

    Central Bank of Brazil, Brazil

    2 publications · 72 citations

    2

    h-index

  3. TB
    Tine Buch-Kromann

    City, University of London, United Kingdom

    2 publications · 28 citations

    2

    h-index

  4. OS
    Olivier Scaillet

    University of Geneva, Switzerland

    2 publications · 297 citations

    2

    h-index

  5. SJ
    Seok‐Oh Jeong

    Hankuk University of Foreign Studies, South Korea

    2 publications · 61 citations

    2

    h-index

1–5 of 150

Institutions

125

  1. University of North Carolina at Chapel Hill

    Chapel Hill, United States

    3 h-index

    11 publications

    622 citations

  2. Instituto Brasileiro de Mercado de Capitais

    Rio de Janeiro, Brazil

    2 h-index

    2 publications

    72 citations

  3. University of Geneva

    Geneva, Switzerland

    2 h-index

    2 publications

    297 citations

  4. University of Michigan

    Ann Arbor, United States

    2 h-index

    2 publications

    145 citations

  5. Renmin University of China

    Beijing, China

    2 h-index

    3 publications

    43 citations

  6. Stanford University

    Stanford, United States

    2 h-index

    2 publications

    549 citations

  7. Central Bank of Brazil

    Brasília, Brazil

    2 h-index

    2 publications

    72 citations

  8. City, University of London

    London, United Kingdom

    2 h-index

    3 publications

    38 citations

1–8 of 125

Venues

  1. The Annals of Statistics

    6 publications · 511 citations

    6

    h-index

  2. SSRN Electronic Journal

    Repository · 5 publications · 202 citations

    5

    h-index

  3. Journal of Econometrics

    3 publications · 920 citations

    3

    h-index

  4. Theory of Probability and Its Applications

    3 publications · 144 citations

    3

    h-index

  5. Annals of Operations Research

    2 publications · 73 citations

    2

    h-index

1–5