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 style 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 style 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.
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.
