Johannes Rohde
Leibniz University of Hanover
Johannes Rohde studied Economics with specializations in Statistics, Mathematical Economics and Growth Theory at Leibniz University of Hanover and finished his PhD in 2015. His research focus is on Financial Statistics and Model Risk.
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Articles by Johannes Rohde
Downside risk measure performance in the presence of breaks in volatility
This paper proposes a loss function-based framework for the comparative measurement of the sensitivity of quantile downside risk measures to breaks in volatility or distribution.