L'approche dare pour une mesure de risque diversifiée
AbstractThe objective of this paper is to provide a complete framework to aggregate different quantile and expectile models for obtaining more diversified Value-at-Risk and Expected Shortfall measures, by applying the diversification principle to model risk. Following Taylor  and Gouriéroux and Jasiak , we introduce a new class of models called Dynamic AutoRegressive Expectiles (dare). We first briefly present the main literature about VaR and es estimations, and we secondly explain the dare approach and how expectiles can be used to estimate quantile risk measures. We finally use the main validation tests to compare the dare approach to other traditional methods for computing extreme risk measures on the French stock market. Classification JEL : C14, C50, G11, G32.
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Bibliographic InfoArticle provided by Presses de Sciences-Po in its journal Revue économique.
Volume (Year): Volume 61 (2010)
Issue (Month): 3 ()
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Web page: http://www.cairn.info/revue-economique.htm
Other versions of this item:
- Benjamin Hamidi & Patrick Kouontchou & Bertrand Maillet, 2010. "L'approche DARE pour une mesure de risque diversifiée," Documents de travail du Centre d'Economie de la Sorbonne 10032, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- Benjamin Hamidi & Patrick Kouontchou & Bertrand Maillet, 2010. "L'approche DARE pour une mesure de risque diversifiée," UniversitÃ© Paris1 PanthÃ©on-Sorbonne (Post-Print and Working Papers) halshs-00476387, HAL.
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
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