Mensuel de octobre 2022 - Informatique financière

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On elicitation techniques for cyber risk audits
Risk Management is typically based on statistics and risk measures that go with them. If we consider quantitative risk measurement it is typically Value at Risk and/or Expected Shortfall. Apart from questions relating to the coherency of risk measures, different measurement (econometric) methods could be used. Those statistical techniques, however, presume some kind of stationarity of the dataset and more importantly depend on the past.   For most econometricians the past is a good way to learn about the future. This, however, is an assumption and in many cases carefully analysed individual and/or aggregate expectations may provide better information. It turns out that recent research papers address this kind of issues under the term elicitation of beliefs...
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