文章基本信息

标题：Uncertainty in historical Value-at-Risk: an alternative quantile-based risk measure
作者：Dominique Guegan ; Bertrand K. 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：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.
关键词：Historical method; Uncertainty; Value-at-Risk; Stress risk measure; Tail risk measure; Prudential financial regulation; Stress testing