Academic Journal
Tail risk measures using flexible parametric distributions
| Title: | Tail risk measures using flexible parametric distributions |
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| Authors: | Sarabia Alegría, José María, Guillen, Montserrat, Chuliá, Helena, Prieto Mendoza, Faustino |
| Contributors: | Universidad de Cantabria |
| Source: | SORT-Statistics and Operations Research Transactions; 2019: Vol.: 43 Núm.: 2 July-December; 223–236 oai:raco.cat:article/361346 Repositori Institucional de la Universitat Rovira i Virgili Universitat Rovira i virgili (URV) SORT 43 (2) July-December 2019, 223-236 UCrea Repositorio Abierto de la Universidad de Cantabria Universidad de Cantabria (UC) Articles publicats en revistes (Econometria, Estadística i Economia Aplicada) Dipòsit Digital de la UB instname Universidad de Barcelona Dipòsit Digital de Documents de la UAB Universitat Autònoma de Barcelona UPCommons. Portal del coneixement obert de la UPC Universitat Politècnica de Catalunya (UPC) |
| Publisher Information: | Universitat Rovira i Virgili, 2019. |
| Publication Year: | 2019 |
| Subject Terms: | Moments, Estadística matemàtica--Aplicacions, 62 Statistics::62P Applications [Classificació AMS], Classificació AMS::62 Statistics::62P Applications, multi-period risk assessment, Estimació d'un paràmetre, Multi-period risk assessment, Àrees temàtiques de la UPC::Matemàtiques i estadística::Estadística matemàtica, Matemàtiques i estadística::Estadística matemàtica [Àrees temàtiques de la UPC], Classificació AMS::60 Probability theory and stochastic processes::60E Distribution theory, Value-at-risk, value-at-risk, Distribució (Teoria econòmica), Parameter estimation, Avaluació del risc, Distribution (Economic theory), 60 Probability theory and stochastic processes::60E Distribution theory [Classificació AMS], Risk assessment |
| Description: | We propose a new type of risk measure for non-negative random variables that focuses on the tail of the distribution. The measure is inspired in general parametric distributions that are well-known in the statistical analysis of the size of income. We derive simple expressions for the conditional moments of these distributions, and we show that they are suitable for analysis of tail risk. The proposed method can easily be implemented in practice because it provides a simple one-step way to compute value-at-risk and tail value-at-risk. We show an illustration with currency exchange data. The data and implementation are open access for reproducibility. The support received from the Spanish Ministry of Science/FEDER ECO2016-76203- C2-1-P / C2-2-P is acknowledged. MG thanks ICREA Academia. We are grateful for the constructive comments and suggestions provided by the Editor and the reviewers, which have improved the paper. |
| Document Type: | Article |
| File Description: | application/pdf |
| DOI: | 10.2436/20.8080.02.86 |
| Access URL: | http://hdl.handle.net/20.500.11797/RP4681 http://hdl.handle.net/10902/18283 https://hdl.handle.net/2445/153697 http://hdl.handle.net/2445/153697 https://ddd.uab.cat/record/218268 http://hdl.handle.net/2117/362064 https://hdl.handle.net/2117/362064 https://dialnet.unirioja.es/servlet/articulo?codigo=7214090 http://diposit.ub.edu/dspace/handle/2445/153697 https://repositorio.unican.es/xmlui/handle/10902/18283 http://diposit.ub.edu/dspace/bitstream/2445/153697/1/693933.pdf https://hdl.handle.net/10902/18283 |
| Rights: | CC BY NC ND |
| Accession Number: | edsair.dedup.wf.002..600e3354a89935d6248bb5fb389eb9e4 |
| Database: | OpenAIRE |
| DOI: | 10.2436/20.8080.02.86 |
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