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

  • Jean-Cyprien Héam

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

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.

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

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Date of creation: 17 Sep 2009
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Handle: RePEc:hal:journl:dumas-00516027
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