Valérie Chavez-Demoulin is Professor of Statistics at HEC Lausanne, specialising in statistical methods for quantitative risk management in general, and the statistical modeling of extreme events in particular. More recent methodological work concerns conditional dependence structures modeling, non-parametric Bayesian models, dynamic Extreme Value Theory models and extremes for non-stationary time series. Following her PhD in Statistics at EPFL, she obtained a grant for a postdoctoral position in collaboration with the SLF in Davos. Afterwards she has been a research fellow at the Department of Mathematics at ETH, Zurich. Aside from her research, she has been the quantitative risk manager for a Hedge Fund for 3 years. She is member of the RiskLab, ETH, Zurich and is an elected member of ISI (The International Statistical Institute).
This paper focuses on the parametric estimators of risk measures and uses Hampel’s infinitesimal approach to derive the robustness properties.