Concepedia

Parametric Risk Estimation

Parametric Risk Estimation is a formal method of quantifying uncertainty in risk assessment by assuming an underlying probability distribution for risk parameters, thereby enabling inference through estimated distributional parameters rather than non-parametric or empirical data-driven approaches.

110

Publications

6.2K

Citations

223

Authors

163

Institutions

Publications per year

2017–2026

13

Parents

Publications

110

Recovering Probability Distributions from Option Prices

Jens Carsten Jackwerth, Mark Rubinstein · The Journal of Finance · 1996 · 1.1K citations · Full text

, , +17

Nonparametric risk management and implied risk aversion

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

, , +14

Recovering Probability Distributions from Option Prices

Jens Carsten Jackwerth, Mark Rubinstein · The Journal of Finance · 1996 · 345 citations

, , +17

Non-Parametric Risk Management and Implied Risk Aversion

Yacine Aı̈t-Sahalia, Andrew W. Lo · SSRN Electronic Journal · 1998 · 258 citations · Full text

, , +15

Kernel Estimation of Relative Risk

Julia E. Kelsall, Peter J. Diggle · Bernoulli · 1995 · 172 citations

, , +15

1–5 of 110

Authors

223

  1. AW
    Andrew W. Lo

    Massachusetts Institute of Technology, United States

    3 publications · 1.2K citations

    3

    h-index

  2. OB
    Oleg Bondarenko

    University of Illinois Chicago, United States

    3 publications · 174 citations

    3

    h-index

  3. YA
    Yacine Aı̈t-Sahalia

    Princeton University, United States

    3 publications · 1.2K citations

    3

    h-index

  4. TB
    Tine Buch-Kromann

    City, University of London, United Kingdom

    2 publications · 28 citations

    2

    h-index

  5. LP
    Liang Peng

    Georgia Institute of Technology, United States

    2 publications · 36 citations

    2

    h-index

1–5 of 223

Institutions

163

  1. University of Arizona

    Tucson, United States

    3 h-index

    6 publications

    168 citations

  2. University of Illinois Chicago

    Chicago, United States

    3 h-index

    3 publications

    174 citations

  3. City, University of London

    London, United Kingdom

    3 h-index

    4 publications

    81 citations

  4. Stanford University

    Stanford, United States

    2 h-index

    2 publications

    102 citations

  5. Harvard University

    Cambridge, United States

    2 h-index

    3 publications

    97 citations

  6. Centre de Recherche en Économie et Statistique

    Palaiseau, France

    2 h-index

    3 publications

    53 citations

  7. Charles University

    Prague, Czechia

    2 h-index

    3 publications

    60 citations

  8. University of Mannheim

    Mannheim, Germany

    2 h-index

    2 publications

    27 citations

1–8 of 163

Venues

  1. SSRN Electronic Journal

    Repository · 10 publications · 486 citations

    10

    h-index

  2. Journal of Econometrics

    4 publications · 1K citations

    4

    h-index

  3. Insurance Mathematics and Economics

    4 publications · 155 citations

    4

    h-index

  4. 4

    h-index

  5. The Journal of Finance

    3 publications · 1.5K citations

    3

    h-index

1–5