We discuss asymptotic scaling rules for VaR and CVaR in the context of distributions with Pareto style tails. These relationships are easily turned into semiparametric VaR and CVaR estimates with appealing backtesting properties. © Springer-Verlag Italia 2012.

Fiori, A., ROSAZZA GIANIN, E., Spasova, A. (2012). Risk measures and Pareto tails. In C. Perna, M. Sibillo (a cura di), Mathematical and Statistical Methods for Actuarial Sciences and Finance (pp. 183-191). Springer [10.1007/978-88-470-2342-0_22].

Risk measures and Pareto tails

FIORI, ANNA MARIA;ROSAZZA GIANIN, EMANUELA;
2012

Abstract

We discuss asymptotic scaling rules for VaR and CVaR in the context of distributions with Pareto style tails. These relationships are easily turned into semiparametric VaR and CVaR estimates with appealing backtesting properties. © Springer-Verlag Italia 2012.
Capitolo o saggio
risk measures; Pareto tails; VaR; CVaR
English
Mathematical and Statistical Methods for Actuarial Sciences and Finance
978-88-470-2341-3
Fiori, A., ROSAZZA GIANIN, E., Spasova, A. (2012). Risk measures and Pareto tails. In C. Perna, M. Sibillo (a cura di), Mathematical and Statistical Methods for Actuarial Sciences and Finance (pp. 183-191). Springer [10.1007/978-88-470-2342-0_22].
Fiori, A; ROSAZZA GIANIN, E; Spasova, A
File in questo prodotto:
Non ci sono file associati a questo prodotto.

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10281/32023
Citazioni
  • Scopus 1
  • ???jsp.display-item.citation.isi??? ND
Social impact