Advanced Search
MyIDEAS: Login to save this paper or follow this series

Correction du biais d'estimation sur les mesures de risque en finance

Contents:

Author Info

  • Jean-Cyprien Héam

    (ECL - Ecole Centrale de Lyon - Ecole Centrale de Lyon)

Abstract

Dans le cadre des procédures de backtesting de la Value-at-Risk (VaR), nous proposons une étude de la qualité de la correction de l'effet d'estimation du test de Kupiec (Journal of Derivatives, 1995) fondée sur les travaux de Escansiano et Olmo (2008). Cette étude conduit à apporter une correction de l'effet d'estimation de la VaR elle-même dans le cadre d'un modèle paramétrique. En intégrant les contraintes des praticiens, notamment la faible taille des échantillons, l'étude montre que les corrections de l'effet de l'estimation tant au niveau de la VaR qu'au niveau de la variance asymptotique du test de Kupiec sont inefficaces : le gain est minime voire inexistant tandis que le temps de calcul est sensiblement allongé.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://dumas.ccsd.cnrs.fr/docs/00/51/60/27/PDF/TFE_3242_heam_Jean-Cyprien_2009.PDF
Download Restriction: no

Bibliographic Info

Paper provided by HAL in its series Post-Print with number dumas-00516027.

as in new window
Length:
Date of creation: 17 Sep 2009
Date of revision:
Handle: RePEc:hal:journl:dumas-00516027

Note: View the original document on HAL open archive server: http://dumas.ccsd.cnrs.fr/dumas-00516027/en/
Contact details of provider:
Web page: http://hal.archives-ouvertes.fr/

Related research

Keywords: mesure de risque; Value-at-Risk (VaR); biais d'estimation; Estimation Paramétrique; Effet de Paramètre ; Risk Measure; Value-at-Risk (VaR); Estimation Biasis; Parametric Estimation; Parameter Effect;

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:hal:journl:dumas-00516027. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (CCSD).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.