Erasmus University Rotterdam
Mikhail Zhelonkin was born in Russia in 1984. He received MS degree in Applied Mathematics from Southern Federal University, Rostov-on-Don, Russia, in 2006, and Ph.D. in Statistics degree from the University of Geneva, Switzerland, in 2013. Then he spent two years as a Postdoctoral Researcher at University of Lausanne, Switzerland. In 2016 he joined the Erasmus School of Economics, Erasmus University Rotterdam, Netherlands, where he is currently an Assistant Professor of Statistics. His main research interests are in the field of Robust Statistics, with focus on methodology and applications in Econometrics and Finance.
This paper focuses on the parametric estimators of risk measures and uses Hampel’s infinitesimal approach to derive the robustness properties.