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Tytuł artykułu
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Warianty tytułu
Języki publikacji
Abstrakty
The most widely used estimator for the Value-at-Risk is the corresponding order statistic. It relies on a single historic observation date, therefore it can exhibit high variability and provides little information about the distribution of losses around the tail. In this paper we purpose to replace this estimator of VaR by an appropriately chosen estimator of the Expected Shortfall. We also consider the Harrel-Davis estimator of VaR and give some comparative analysis among these estimators. (original abstract)
Rocznik
Tom
Numer
Strony
81--89
Opis fizyczny
Twórcy
autor
- Collegium Mazovia Innowacyjna Szkoła Wyższa w Siedlcach
autor
- Uniwersytet Przyrodniczo-Humanistyczny w Siedlcach
Bibliografia
- Acherbi C., Tasche D., (2002). On the coherence of expected shortfall. J. Bank. Finance, 26:1487-1503.
- Artzner P., Delbaen F., Eber J.M., Heath D. (1999). Coherent measures of risk. Math. Finance, 9:203-228.
- Dowd K., Blake D., (2006). After VaR: The theory, estimation, and insurance applications of quantile-based risk measure. J. Risk Insur., vol.73, No.2, 193-229.
- Harrell, F.E., Davis, C.E. (1982). A new distribution-free quantile estimator, Biometrika, 69(3): 635-640.
- Mausserr H., (2001). Calculating quantile-based risk analytics with L-estimators. Algo Research Quarterly, vol.4, No.4, 33-47.
- Rockafeller R., Uryasev S., (2000). Optimization of conditional value-at-risk. J. Risk, 2: 21-41.
- Wirch J., Hardy M., (1999). A synthesis of risk measures for capital adequacy. Insur. Math. Econ. 25:337-348.
Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.ekon-element-000171237361