Risk measures are functionals on spaces of random variables designed to quantify financial risk. In this paper, we consider the statistical properties of plug-in estimates for the broad class of coherent, law invariant risk functionals. In particular, we provide several sets of sufficient conditions to establish asymptotic consistency based on a general representation result for this class of functionals. We demonstrate the applicability of our approach by applying it to several well-known examples of risk functionals.     «

Risk measures are functionals on spaces of random variables designed to quantify financial risk. In this paper, we consider the statistical properties of plug-in estimates for the broad class of coherent, law invariant risk functionals. In particular, we provide several sets of sufficient conditions to establish asymptotic consistency based on a general representation result for this class of functionals. We demonstrate the applicability of our approach by applying it to several well-known examp...     »