An asymptotic test for the Conditional Value-at-Risk
Data(s) |
21/10/2015
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Resumo |
Conditional Value-at-Risk (equivalent to the Expected Shortfall, Tail Value-at-Risk and Tail Conditional Expectation in the case of continuous probability distributions) is an increasingly popular risk measure in the fields of actuarial science, banking and finance, and arguably a more suitable alternative to the currently widespread Value-at-Risk. In my paper, I present a brief literature survey, and propose a statistical test of the location of the CVaR, which may be applied by practising actuaries to test whether CVaR-based capital levels are in line with observed data. Finally, I conclude with numerical experiments and some questions for future research. |
Formato |
application/pdf |
Identificador |
http://unipub.lib.uni-corvinus.hu/2095/2/CEWP_201519.pdf Vékás, Péter (2015) An asymptotic test for the Conditional Value-at-Risk. Working Paper. Corvinus University of Budapest Faculty of Economics. |
Publicador |
Corvinus University of Budapest Faculty of Economics |
Relação |
http://unipub.lib.uni-corvinus.hu/2095/ |
Palavras-Chave | #Mathematics, Econometrics #Finance #General statistics |
Tipo |
Monograph NonPeerReviewed |