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Model Risk in Risk Measures Calculations

In: Model Risk in Financial Markets From Financial Engineering to Risk Management

Author

Listed:
  • Radu Tunaru

Abstract

The following sections are included:IntroductionControlling Risk in InsuranceDiversificationVarianceCoherent Distortion Risk MeasuresValue-at-RiskGeneral observationsExpected shortfall and expected tail lossViolations ratioCorrect representationVaR may not be subadditiveArtificial improvement of VaRProblems at long horizonBacktestingUncertainty in risk estimates: A short overviewBacktesting VaRAsymptotic Risk of VaRNormal VaRMore general asymptotic standard errors for VaRExact confidence intervals for VaRExamplesVaR at different significance levelsExact confidence intervalsExtreme losses estimation and uncertaintyBacktesting expected shortfallNotes and Summary

Suggested Citation

  • Radu Tunaru, 2015. "Model Risk in Risk Measures Calculations," World Scientific Book Chapters, in: Model Risk in Financial Markets From Financial Engineering to Risk Management, chapter 8, pages 157-204, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789814663410_0008
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