文章基本信息

标题：A robust confidence interval of historical Value-at-Risk for small sample
作者：Dominique Guegan ; Bertrand Hassani ; Kehan Li 等
期刊名称：Documents de Travail du Centre d'Economie de la Sorbonne
印刷版ISSN：1955-611X
出版年度：2016
出版社：Centre d'Economie de la Sorbonne
摘要：Finiteness of sample, as one major sources of uncertainty, has been ignored by the regulators and risk managers domains such as portfolio management, credit risk modelling and finance (or insurance) regulatory capital calculations. To capture this uncertainty, we provide a robust confidence interval (CI) of historical Value-at-Risk (h VaR ) for different length of sample. We compute this CI from a saddlepoint approximation of the distribution of h VaR using a bisection search approach. We also suggest a Spectral Stress Value-at-Risk measure based on the CI, as an alternative risk measure for both financial and insurance industries. Finally we perform a stress testing application for the SSVaR.
关键词：Value-at-Risk; Small sample; Uncertainty; Asymptotic normality approximation; Saddlepoint approximation; Bisection search approach; Spectral Stress VaR; Stress testing