Expected Shortfall and Harell-Davis Estimators of Value-At-Risk

• Autorzy: Leszek Gadomski , Vasile Glavan
• Języki publikacji: EN

Abstrakty

EN

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)

Słowa kluczowe

EN

Risk management; VaR method; Estimators

PL

Zarządzanie ryzykiem; Miernik ryzyka (VaR); Estymatory

• Czasopismo: Metody Ilościowe w Badaniach Ekonomicznych / Szkoła Główna Gospodarstwa Wiejskiego
• Rocznik: 2010
• Tom: 11(XI)
• Numer: nr 1
• Strony: 81--89

Twórcy

autor

Leszek Gadomski

• Collegium Mazovia Innowacyjna Szkoła Wyższa w Siedlcach

autor

Vasile Glavan

• Uniwersytet Przyrodniczo-Humanistyczny w Siedlcach

Bibliografia

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