Semiparametric Estimation And Inference For Conditional Value At Risk And Expected Shortfall PDF Download
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Author | : Chuan-Sheng Wang |
Publisher | : |
Total Pages | : |
Release | : 2018 |
Genre | : |
ISBN | : |
Download SEMIPARAMETRIC ESTIMATION AND INFERENCE FOR CONDITIONAL VALUE-AT-RISK AND EXPECTED SHORTFALL. Book in PDF, ePub and Kindle
Conditional Value-at-Risk (hereafter, CVaR) and Expected Shortfall (CES) play an important role in financial risk management. Parametric CVaR and CES enjoy both nice interpretation and capability of multi-dimensional modeling, however they are subject to errors from mis-specification of the noise distribution. On the other hand, nonparametric estimations are robust but suffer from the ''curse of dimensionality'' and slow convergence rate. To overcome these issues, we study semiparametric CVaR and CES estimation and inference for parametric model with nonparametric noise distribution. In this dissertation, under a general framework that allows for many widely used time series models, we propose a semiparametric CVaR estimator and a semiparametric CES estimator that both achieve the parametric convergence rate. Asymptotic properties of the estimators are provided to support the inference. Furthermore, to draw simultaneous inference for CVaR at multiple confidence levels, we establish a functional central limit theorem for CVaR process indexed by the confidence level and use it to study the conditional expected shortfall. A user-friendly bootstrap approach is introduced to facilitate non-expert practitioners to perform confidence interval construction for CVaR and CES. The methodology is illustrated through both Monte Carlo studies and an application to S&P 500 index.
Author | : Carlos Martins-Filho |
Publisher | : |
Total Pages | : |
Release | : 2013 |
Genre | : |
ISBN | : |
Download Nonparametric Estimation of Conditional Value-at-risk and Expected Shortfall Based on Extreme Value Theory Book in PDF, ePub and Kindle
Author | : Jianqing Fan |
Publisher | : |
Total Pages | : 64 |
Release | : 2003 |
Genre | : Parameter estimation |
ISBN | : |
Download Semiparametric Estimation of Value-at-risk Book in PDF, ePub and Kindle
Author | : Laura García Jorcano |
Publisher | : Ed. Universidad de Cantabria |
Total Pages | : 162 |
Release | : 2020-02-24 |
Genre | : Business & Economics |
ISBN | : 8481029122 |
Download Sample Size, Skewness and Leverage Effects in Value at Risk and Expected Shortfall Estimation Book in PDF, ePub and Kindle
The thesis analyzes the effect that the sample size, the asymmetry in the distribution of returns and the leverage in their volatility have on the estimation and forecasting of market risk in financial assets. The goal is to compare the performance of a variety of models for the estimation and forecasting of Value at Risk (VaR) and Expected Shortfall (ES) for a set of assets of different nature: market indexes, individual stocks, bonds, exchange rates, and commodities. The three chapters of the thesis address issues of greatest interest for the measurement of risk in financial institutions and, therefore, for the supervision of risks in the financial system. They deal with technical issues related to the implementation of the Basel Committee's guidelines on some aspects of which very little is known in the academic world and in the specialized financial sector. In the first chapter, a numerical correction is proposed on the values usually estimatedwhen there is little statistical information, either because it is a financial asset (bond, investment fund...) recently created or issued, or because the nature or the structure of the asset or portfolio have recently changed. The second chapter analyzes the relevance of different aspects of risk modeling. The third and last chapter provides a characterization of the preferable methodology to comply with Basel requirements related to the backtesting of the Expected Shortfall.
Author | : Franco Peracchi |
Publisher | : |
Total Pages | : 29 |
Release | : 2014 |
Genre | : |
ISBN | : |
Download On Estimating the Conditional Expected Shortfall Book in PDF, ePub and Kindle
Unlike the value at risk, the expected shortfall is a coherent measure of risk. In this paper, we discuss estimation of the expected shortfall of a random variable Yt with special reference to the case when auxiliary information is available in the form of a set of predictors Xt. We consider three classes of estimators of the conditional expected shortfall of Yt given Xt: a class of fully non-parametric estimators and two classes of analog estimators based, respectively, on the empirical conditional quantile function and the empirical conditional distribution function.We study their sampling properties by means of a set of Monte Carlo experiments and analyze their performance in an empirical application to financial data.
Author | : Xinxin Huang |
Publisher | : |
Total Pages | : 0 |
Release | : 2014 |
Genre | : |
ISBN | : |
Download Analyzing Value at Risk and Expected Shortfall Methods Book in PDF, ePub and Kindle
Value at Risk (VaR) and Expected Shortfall (ES) are methods often used to measure market risk. Inaccurate and unreliable Value at Risk and Expected Shortfall models can lead to underestimation of the market risk that a firm or financial institution is exposed to, and therefore may jeopardize the well-being or survival of the firm or financial institution during adverse markets. The objective of this study is therefore to examine various Value at Risk and Expected Shortfall models, including fatter tail models, in order to analyze the accuracy and reliability of these models. Thirteen VaR and ES models under three main approaches (Parametric, Non-Parametric and Semi-Parametric) are examined in this study. The results of this study show that the proposed model (ARMA(1,1)-GJR-GARCH(1,1)-SGED) gives the most balanced Value at Risk results. The semi-parametric model (Extreme Value Theory, EVT) is the most accurate Value at Risk model in this study for S&P 500.
Author | : Xuehai Zhang |
Publisher | : |
Total Pages | : |
Release | : 2019 |
Genre | : |
ISBN | : |
Download Value at Risk and Expected Shortfall Under General Semi-parametric GARCH Models Book in PDF, ePub and Kindle
Author | : M. R. Leadbetter |
Publisher | : Springer Science & Business Media |
Total Pages | : 344 |
Release | : 2012-12-06 |
Genre | : Mathematics |
ISBN | : 1461254493 |
Download Extremes and Related Properties of Random Sequences and Processes Book in PDF, ePub and Kindle
Classical Extreme Value Theory-the asymptotic distributional theory for maxima of independent, identically distributed random variables-may be regarded as roughly half a century old, even though its roots reach further back into mathematical antiquity. During this period of time it has found significant application-exemplified best perhaps by the book Statistics of Extremes by E. J. Gumbel-as well as a rather complete theoretical development. More recently, beginning with the work of G. S. Watson, S. M. Berman, R. M. Loynes, and H. Cramer, there has been a developing interest in the extension of the theory to include, first, dependent sequences and then continuous parameter stationary processes. The early activity proceeded in two directions-the extension of general theory to certain dependent sequences (e.g., Watson and Loynes), and the beginning of a detailed theory for stationary sequences (Berman) and continuous parameter processes (Cramer) in the normal case. In recent years both lines of development have been actively pursued.
Author | : Masanobu Taniguchi |
Publisher | : CRC Press |
Total Pages | : 389 |
Release | : 2017-09-01 |
Genre | : Mathematics |
ISBN | : 1466505613 |
Download Statistical Portfolio Estimation Book in PDF, ePub and Kindle
The composition of portfolios is one of the most fundamental and important methods in financial engineering, used to control the risk of investments. This book provides a comprehensive overview of statistical inference for portfolios and their various applications. A variety of asset processes are introduced, including non-Gaussian stationary processes, nonlinear processes, non-stationary processes, and the book provides a framework for statistical inference using local asymptotic normality (LAN). The approach is generalized for portfolio estimation, so that many important problems can be covered. This book can primarily be used as a reference by researchers from statistics, mathematics, finance, econometrics, and genomics. It can also be used as a textbook by senior undergraduate and graduate students in these fields.
Author | : Christopher F. Parmeter |
Publisher | : Emerald Group Publishing |
Total Pages | : 401 |
Release | : 2024-04-05 |
Genre | : Business & Economics |
ISBN | : 1837978751 |
Download Essays in Honor of Subal Kumbhakar Book in PDF, ePub and Kindle
It is the editor’s distinct privilege to gather this collection of papers that honors Subhal Kumbhakar’s many accomplishments, drawing further attention to the various areas of scholarship that he has touched.