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Application Quantile-Based Risk Measures in Sector Portfolio Analysis—Warsaw Stock Exchange Approach

In: Effective Investments on Capital Markets

Author

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  • Grażyna Trzpiot

    (University of Economics in Katowice)

Abstract

The measurement of financial risk has been one of the main goals of the investors as well as actuaries and insurance practitioners. Measuring the risk of a financial portfolio involves firstly estimating the loss distribution of the portfolio, next computing chosen risk measure. In the resent study, the robustness of risk measurement procedures and their sensitivity into point out for the dataset in present. The results show a gap between the subadditivity and robustness of risk measurement procedures. We apply into analyses alternative risk measurement procedures that possess the robustness property. The quantile-based risk measures have been applied in sector portfolio analysis for the dataset from Warsaw Stock Exchange.

Suggested Citation

  • Grażyna Trzpiot, 2019. "Application Quantile-Based Risk Measures in Sector Portfolio Analysis—Warsaw Stock Exchange Approach," Springer Proceedings in Business and Economics, in: Waldemar Tarczyński & Kesra Nermend (ed.), Effective Investments on Capital Markets, chapter 0, pages 215-224, Springer.
    • Handle: RePEc:spr:prbchp:978-3-030-21274-2_15
    DOI: 10.1007/978-3-030-21274-2_15
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    More about this item

    Keywords

    Risk measurement; Value-at-risk; Expected shortfall; Robustness;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • C19 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Other

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