Conditional Value-at-Risk and Average Value-at-Risk: Estimation and Asymptotics
AbstractWe discuss linear regression approaches to conditional Value-at-Risk and Average Value-at-Risk (Conditional Value-at-Risk, Expected Shortfall) risk measures. Two estimation procedures are considered for each conditional risk measure, one is direct and the other is based on residual analysis of the standard least squares method. Large sample statistical inference of the estimators obtained is derived. Furthermore, finite sample properties of the proposed estimators are investigated and compared with theoretical derivations in an extensive Monte Carlo study. Empirical results on the real-data (different financial asset classes) are also provided to illustrate the performance of the estimators.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 30132.
Date of creation: 03 Apr 2011
Date of revision:
Value-at-Risk; Average Value-at-Risk; Conditional Value-at-Risk; Expected Shortfall; linear regression; least squares residual; quantile regression; conditional risk measures; statistical inference;
Find related papers by JEL classification:
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-04-23 (All new papers)
- NEP-BAN-2011-04-23 (Banking)
- NEP-ECM-2011-04-23 (Econometrics)
- NEP-ORE-2011-04-23 (Operations Research)
- NEP-RMG-2011-04-23 (Risk Management)
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