How Sensitive are Tail-related Risk Measures in a Contamination Neighbourhood?

Arbeitspapier

Estimation or mis-specification errors in the portfolio loss distribution can have a considerable impact on risk measures. This paper investigates the sensitivity of tail-related risk measures including the Value-at-Risk, expected shortfall and the expectile-quantile transformation level in an epsiloncontamination neighbourhood. The findings give the different approximations via the tail heaviness of the contamination models and its contamination levels. Illustrating examples and an empirical study on the dynamic CRIX capturing and displaying the market movements are given. The codes used to obtain the results in this paper are available via https://github.com/QuantLet/SRMC

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: IRTG 1792 Discussion Paper ; No. 2018-010

Classification and Topics

• Classification: Wirtschaft ; Estimation: General ; General Financial Markets: General (includes Measurement and Data) ; Capital Budgeting; Fixed Investment and Inventory Studies; Capacity
• Subject: Sensitivity ; expected shortfall ; expectile ; Value-at-Risk ; risk management ; influence function ; CRIX

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Härdle, Wolfgang Karl ; Ling, Chengxiu
• Event: Veröffentlichung
• (who): Humboldt-Universität zu Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series"
• (where): Berlin
• (when): 2018

Further information

• Handle: http://hdl.handle.net/10419/230721
• Last update: 10.03.2025, 11:43 AM CET