Arbeitspapier
CVaR sensitivity with respect to tail thickness
We consider the sensitivity of conditional value-at-risk (CVaR) with respect to the tail index assuming regularly varying tails and exponential and faster-than-exponential tail decay for the return distribution. We compare it to the CVaR sensitivity with respect to the scale parameter for stable Paretian, the Student's t, and generalized Gaussian laws and discuss implications for the modeling of daily returns and marginal rebalancing decisions. Finally, we explore empirically the impact on the asymptotic variability of the CVaR estimator with daily returns which is a standard choice for the return frequency for risk estimation.
- Sprache
-
Englisch
- Erschienen in
-
Series: KIT Working Paper Series in Economics ; No. 29
- Klassifikation
-
Wirtschaft
- Thema
-
fat-tailed distributions
regularly varying tails
conditional value-at-risk
marginal rebalancing
asymptotic variability
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Stoyanov, Stoyan V.
Rachev, Svetlozar T.
Fabozzi, Frank J.
- Ereignis
-
Veröffentlichung
- (wer)
-
Karlsruher Institut für Technologie (KIT), Institut für Volkswirtschaftslehre (ECON)
- (wo)
-
Karlsruhe
- (wann)
-
2011
- DOI
-
doi:10.5445/IR/1000023240
- Handle
- URN
-
urn:nbn:de:swb:90-232402
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Stoyanov, Stoyan V.
- Rachev, Svetlozar T.
- Fabozzi, Frank J.
- Karlsruher Institut für Technologie (KIT), Institut für Volkswirtschaftslehre (ECON)
Entstanden
- 2011
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