Sensitivity analysis of Values at Risk

Gouriéroux, Christian; Laurent, Jean Paul; Scaillet, Olivier

doi:10.1016/s0927-5398(00)00011-6

Cited by 334 publications

(183 citation statements)

References 17 publications

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“…The existence of the directional derivative (2.2) is analyzed in a number of papers, e.g. Gourieroux et al (2000), Tasche (2002), Fischer (2003) and Carlier (2008). Alternative allocation techniques have been explored in the actuarial sciences, see, for example, Myers and Read (2001) and Dhaene et al (2003).…”

Section: On the Axiomatization Of Capital Allocationmentioning

confidence: 99%

An axiomatic characterization of capital allocations of coherent risk measures

Kalkbrener

2009

Quantitative Finance

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Section: On the Axiomatization Of Capital Allocationmentioning

confidence: 99%

An axiomatic characterization of capital allocations of coherent risk measures

Kalkbrener

2009

Quantitative Finance

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“…45-47;Derman 1996). Errors in describing or estimating the distribution of losses can profoundly affect the accuracy of a risk measure (Gourieroux et al 2000). "Broadly speaking, model risk can be attributed to either an incorrect model or to an incorrect implementation of a model" (Buraschi andCorielle 2005, p. 2884).…”

Section: Introductionmentioning

confidence: 99%

On Exactitude in Financial Regulation: Value-at-Risk, Expected Shortfall, and Expectiles

Chen

2018

Risks

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This article reviews two leading measures of financial risk and an emerging alternative. Embraced by the Basel accords, value-at-risk and expected shortfall are the leading measures of financial risk. Expectiles offset the weaknesses of value-at-risk (VaR) and expected shortfall. Indeed, expectiles are the only elicitable law-invariant coherent risk measures. After reviewing practical concerns involving backtesting and robustness, this article more closely examines regulatory applications of expectiles. Expectiles are most readily evaluated as a special class of quantiles. For ease of regulatory implementation, expectiles can be defined exclusively in terms of VaR, expected shortfall, and the thresholds at which those competing risk measures are enforced. Moreover, expectiles are in harmony with gain/loss ratios in financial risk management. Expectiles may address some of the flaws in VaR and expected shortfall-subject to the reservation that no risk measure can achieve exactitude in regulation.

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“…As a response, Arzac and Bawa (1977) use a nonparametric model for the asset returns distribution. Later, Gourieroux et al (2000) also model the portfolio returns distribution using a nonparametric model. However, there is no need to model the entire distribution in order to obtain the probability of large losses.…”

Section: Introductionmentioning

confidence: 99%

Semiparametric estimation of multi-asset portfolio tail risk

Dias

2014

Journal of Banking & Finance

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When correlations between assets turn positive, multi-asset portfolios can become riskier than single assets. This article presents the estimation of tail risk at very high quantiles using a semiparametric estimator which is particularly suitable for portfolios with a large number of assets. The estimator captures simultaneously the information contained in each individual asset return that composes the portfolio, and the interrelation between assets. Noticeably, the accuracy of the estimates does not deteriorate when the number of assets in the portfolio increases. The implementation is as easy for a large number of assets as it is for a small number. We estimate the probability distribution of large losses for the American stock market considering portfolios with ten, fifty and one hundred assets of stocks with different market capitalization. In either case, the approximation for the portfolio tail risk is very accurate. We compare our results with well known benchmark models.JEL classification: C51, G01, G11, G17.

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Sensitivity analysis of Values at Risk

Cited by 334 publications

References 17 publications

An axiomatic characterization of capital allocations of coherent risk measures

An axiomatic characterization of capital allocations of coherent risk measures

On Exactitude in Financial Regulation: Value-at-Risk, Expected Shortfall, and Expectiles

Semiparametric estimation of multi-asset portfolio tail risk

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