Web of Science: 1 citations, Scopus: 1 citations, Google Scholar: citations
Tail risk measures using flexible parametric distributions
Sarabia, José María (Universidad de Cantabria. Departamento de Economía)
Guillén, Montserrat (Universitat de Barcelona. Departament d'Econometria)
Chuliá, Helena (Universitat de Barcelona. Departament d'Econometria)
Prieto, Faustino (Universidad de Cantabria. Departamento de Economía)

Date: 2019
Abstract: We propose a new type of risk measure for non-negative random variables that focuses on the tail of the distribution. The measure is inspired in general parametric distributions that are well-known in the statistical analysis of the size of income. We derive simple expressions for the conditional moments of these distributions, and we show that they are suitable for analysis of tail risk. The proposed method can easily be implemented in practice because it provides a simple one-step way to compute value-at-risk and tail value-at-risk. We show an illustration with currency exchange data. The data and implementation are open access for reproducibility.
Rights: Aquest document està subjecte a una llicència d'ús Creative Commons. Es permet la reproducció total o parcial, la distribució, i la comunicació pública de l'obra, sempre que no sigui amb finalitats comercials, i sempre que es reconegui l'autoria de l'obra original. No es permet la creació d'obres derivades. Creative Commons
Language: Anglès
Document: Article ; recerca ; Versió publicada
Subject: Moments ; Multi-period risk assessment ; Value-at-risk
Published in: SORT : statistics and operations research transactions, Vol. 43 Núm. 2 (July-December 2019) , p. 223-236, ISSN 2013-8830

Adreça alternativa: https://raco.cat/index.php/SORT/article/view/361346
DOI: 10.2436/20.8080.02.86


14 p, 847.9 KB

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Articles > Published articles > SORT
Articles > Research articles

 Record created 2020-02-12, last modified 2021-12-11



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