Abstract:Estimation or mis-specification errors in the portfolio loss distribution can have a considerable impact on risk measures. This paper investigates the sensitivity of tail-related risk measures including the Value-at-Risk, expected shortfall and the expectile-quantile transformation level in an epsiloncontamination neighbourhood. The findings give the different approximations via the tail heaviness of the contamination models and its contamination levels. Illustrating examples and an empirical study on the dyna… Show more
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