Uncertainty in historical Value-at-Risk: an alternative quantile-based risk measure

Abstract : The financial industry has extensively used quantile-based risk measures relying on the Value-at-Risk (VaR). They need to be estimated from relevant historical data set. Consequently, they contain uncertainty. We propose an alternative quantile-based risk measure (the Spectral Stress VaR) to capture the uncertainty in the historical VaR approach. This one provides flexibility to the risk manager to implement prudential regulatory framework. It can be a VaR based stressed risk measure. In the end we propose a stress testing application for it.
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https://halshs.archives-ouvertes.fr/halshs-01277880
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Soumis le : mardi 23 février 2016 - 12:53:33
Dernière modification le : jeudi 4 octobre 2018 - 18:28:01
Document(s) archivé(s) le : dimanche 13 novembre 2016 - 01:58:33

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  • HAL Id : halshs-01277880, version 1

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Dominique Guegan, Bertrand K. Hassani, Kehan Li. Uncertainty in historical Value-at-Risk: an alternative quantile-based risk measure. 2016. ⟨halshs-01277880⟩

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