Chun, So Yeon and Shapiro, Alexander and Uryasev, Stan (2011): Conditional ValueatRisk and Average ValueatRisk: Estimation and Asymptotics. Forthcoming in:
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Abstract
We discuss linear regression approaches to estimation of law invariant conditional risk measures. Two estimation procedures are considered and compared; one is based on residual analysis of the standard least squares method and the other is in the spirit of the Mestimation approach used in robust statistics. In particular, ValueatRisk and Average ValueatRisk measures are discussed in details. Large sample statistical inference of the estimators is derived. Furthermore, finite sample properties of the proposed estimators are investigated and compared with theoretical derivations in an extensive Monte Carlo study. Empirical results on the realdata (different financial asset classes) are also provided to illustrate the performance of the estimators.
Item Type:  MPRA Paper 

Original Title:  Conditional ValueatRisk and Average ValueatRisk: Estimation and Asymptotics 
Language:  English 
Keywords:  ValueatRisk, Average ValueatRisk, linear regression, least squares residuals, Mestimators, quantile regression, conditional risk measures, law invariant risk measures, statistical inference 
Subjects:  C  Mathematical and Quantitative Methods > C5  Econometric Modeling > C53  Forecasting and Prediction Methods ; Simulation Methods D  Microeconomics > D8  Information, Knowledge, and Uncertainty > D81  Criteria for DecisionMaking under Risk and Uncertainty G  Financial Economics > G3  Corporate Finance and Governance > G32  Financing Policy ; Financial Risk and Risk Management ; Capital and Ownership Structure ; Value of Firms ; Goodwill C  Mathematical and Quantitative Methods > C1  Econometric and Statistical Methods and Methodology: General > C15  Statistical Simulation Methods: General C  Mathematical and Quantitative Methods > C1  Econometric and Statistical Methods and Methodology: General 
Item ID:  33115 
Depositing User:  So Yeon Chun 
Date Deposited:  01 Sep 2011 15:39 
Last Modified:  21 Nov 2016 16:26 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/33115 
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Conditional ValueatRisk and Average ValueatRisk: Estimation and Asymptotics. (deposited 14 Apr 2011 01:05)
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