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An asymptotic test for the Conditional Value-at-Risk

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  • Vékás, Péter

Abstract

Conditional Value-at-Risk (equivalent to the Expected Shortfall, Tail Value-at-Risk and Tail Conditional Expectation in the case of continuous probability distributions) is an increasingly popular risk measure in the fields of actuarial science, banking and finance, and arguably a more suitable alternative to the currently widespread Value-at-Risk. In my paper, I present a brief literature survey, and propose a statistical test of the location of the CVaR, which may be applied by practising actuaries to test whether CVaR-based capital levels are in line with observed data. Finally, I conclude with numerical experiments and some questions for future research.

Suggested Citation

  • Vékás, Péter, 2015. "An asymptotic test for the Conditional Value-at-Risk," Corvinus Economics Working Papers (CEWP) 2015/19, Corvinus University of Budapest.
    • Handle: RePEc:cvh:coecwp:2015/19
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    File URL: https://unipub.lib.uni-corvinus.hu/2095/
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    Cited by:

    1. Amita Sharma & Sebastian Utz & Aparna Mehra, 2017. "Omega-CVaR portfolio optimization and its worst case analysis," OR Spectrum: Quantitative Approaches in Management, Springer;Gesellschaft für Operations Research e.V., vol. 39(2), pages 505-539, March.

    More about this item

    Keywords

    risk measures; Conditional Value-at-Risk; hypothesis testing; actuarial science;
    All these keywords.

    JEL classification:

    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics

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