Unbiased estimation of risk
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- So, Mike K.P. & Yu, Philip L.H., 2006. "Empirical analysis of GARCH models in value at risk estimation," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 16(2), pages 180-197, April.
- Pierre Giot & Sébastien Laurent, 2003.
"Value-at-risk for long and short trading positions,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(6), pages 641-663.
- GIOT, Pierre & LAURENT, Sébastien, 2001. "Value-at-risk for long and short trading positions," LIDAM Discussion Papers CORE 2001022, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- GIOT, Pierre & LAURENT, Sébastien, 2003. "Value-at-Risk for long and short trading positions," LIDAM Reprints CORE 1707, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Pierre Giot and S»bastien Laurent, 2001. "Value-At-Risk For Long And Short Trading Positions," Computing in Economics and Finance 2001 94, Society for Computational Economics.
- Hans Föllmer & Thomas Knispel, 2013. "Convex risk measures: Basic facts, law-invariance and beyond, asymptotics for large portfolios," World Scientific Book Chapters, in: Leonard C MacLean & William T Ziemba (ed.), HANDBOOK OF THE FUNDAMENTALS OF FINANCIAL DECISION MAKING Part II, chapter 30, pages 507-554, World Scientific Publishing Co. Pte. Ltd..
- Rama Cont & Romain Deguest & Giacomo Scandolo, 2010. "Robustness and sensitivity analysis of risk measurement procedures," Quantitative Finance, Taylor & Francis Journals, vol. 10(6), pages 593-606.
- Ivo Francioni & Florian Herzog, 2012. "Probability-unbiased Value-at-Risk estimators," Quantitative Finance, Taylor & Francis Journals, vol. 12(5), pages 755-768, November.
- Gneiting, Tilmann, 2011. "Making and Evaluating Point Forecasts," Journal of the American Statistical Association, American Statistical Association, vol. 106(494), pages 746-762.
- Jeremy Berkowitz & James O'Brien, 2002. "How Accurate Are Value‐at‐Risk Models at Commercial Banks?," Journal of Finance, American Finance Association, vol. 57(3), pages 1093-1111, June.
- Carlo Acerbi, 2007. "Coherent measures of risk in everyday market practice," Quantitative Finance, Taylor & Francis Journals, vol. 7(4), pages 359-364.
- Rama Cont & Romain Deguest & Giacomo Scandolo, 2010. "Robustness and sensitivity analysis of risk measurement procedures," Post-Print hal-00413729, HAL.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Pedro M. Mirete-Ferrer & Alberto Garcia-Garcia & Juan Samuel Baixauli-Soler & Maria A. Prats, 2022. "A Review on Machine Learning for Asset Management," Risks, MDPI, vol. 10(4), pages 1-46, April.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Pitera, Marcin & Schmidt, Thorsten, 2018. "Unbiased estimation of risk," Journal of Banking & Finance, Elsevier, vol. 91(C), pages 133-145.
- Marcelo Brutti Righi & Fernanda Maria Muller & Marlon Ruoso Moresco, 2022. "A risk measurement approach from risk-averse stochastic optimization of score functions," Papers 2208.14809, arXiv.org, revised May 2023.
- Nieto, Maria Rosa & Ruiz, Esther, 2016. "Frontiers in VaR forecasting and backtesting," International Journal of Forecasting, Elsevier, vol. 32(2), pages 475-501.
- Ruodu Wang & Johanna F. Ziegel, 2014. "Distortion Risk Measures and Elicitability," Papers 1405.3769, arXiv.org, revised May 2014.
- Kellner, Ralf & Rösch, Daniel, 2016. "Quantifying market risk with Value-at-Risk or Expected Shortfall? – Consequences for capital requirements and model risk," Journal of Economic Dynamics and Control, Elsevier, vol. 68(C), pages 45-63.
- Alexander, Gordon J. & Baptista, Alexandre M. & Yan, Shu, 2012. "When more is less: Using multiple constraints to reduce tail risk," Journal of Banking & Finance, Elsevier, vol. 36(10), pages 2693-2716.
- Dimitriadis, Timo & Schnaitmann, Julie, 2021. "Forecast encompassing tests for the expected shortfall," International Journal of Forecasting, Elsevier, vol. 37(2), pages 604-621.
- Carole Bernard & Ludger Rüschendorf & Steven Vanduffel & Ruodu Wang, 2017. "Risk bounds for factor models," Finance and Stochastics, Springer, vol. 21(3), pages 631-659, July.
- Lazar, Emese & Zhang, Ning, 2019.
"Model risk of expected shortfall,"
Journal of Banking & Finance, Elsevier, vol. 105(C), pages 74-93.
- Emese Lazar & Ning Zhang, 2017. "Model Risk of Expected Shortfall," ICMA Centre Discussion Papers in Finance icma-dp2017-10, Henley Business School, University of Reading.
- Tobias Fissler & Silvana M. Pesenti, 2022. "Sensitivity Measures Based on Scoring Functions," Papers 2203.00460, arXiv.org, revised Jul 2022.
- Alexander, Carol & Sheedy, Elizabeth, 2008. "Developing a stress testing framework based on market risk models," Journal of Banking & Finance, Elsevier, vol. 32(10), pages 2220-2236, October.
- Giovanni Paolo Crespi & Elisa Mastrogiacomo, 2020. "Qualitative robustness of set-valued value-at-risk," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 91(1), pages 25-54, February.
- Weronika Ormaniec & Marcin Pitera & Sajad Safarveisi & Thorsten Schmidt, 2022. "Estimating value at risk: LSTM vs. GARCH," Papers 2207.10539, arXiv.org.
- Asimit, Alexandru V. & Bignozzi, Valeria & Cheung, Ka Chun & Hu, Junlei & Kim, Eun-Seok, 2017. "Robust and Pareto optimality of insurance contracts," European Journal of Operational Research, Elsevier, vol. 262(2), pages 720-732.
- Steven Kou & Xianhua Peng, 2016. "On the Measurement of Economic Tail Risk," Operations Research, INFORMS, vol. 64(5), pages 1056-1072, October.
- Onur Babat & Juan C. Vera & Luis F. Zuluaga, 2021. "Computing near-optimal Value-at-Risk portfolios using Integer Programming techniques," Papers 2107.07339, arXiv.org.
- Marcelo Brutti Righi, 2018. "A theory for combinations of risk measures," Papers 1807.01977, arXiv.org, revised May 2023.
- Hans Rau-Bredow, 2019. "Bigger Is Not Always Safer: A Critical Analysis of the Subadditivity Assumption for Coherent Risk Measures," Risks, MDPI, vol. 7(3), pages 1-18, August.
- Ruodu Wang & Yunran Wei, 2020. "Risk functionals with convex level sets," Mathematical Finance, Wiley Blackwell, vol. 30(4), pages 1337-1367, October.
- Fissler Tobias & Ziegel Johanna F., 2021. "On the elicitability of range value at risk," Statistics & Risk Modeling, De Gruyter, vol. 38(1-2), pages 25-46, January.
More about this item
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2016-03-29 (Econometrics)
- NEP-RMG-2016-03-29 (Risk Management)
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arx:papers:1603.02615. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: arXiv administrators (email available below). General contact details of provider: http://arxiv.org/ .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.