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scientific article; zbMATH DE number 1449651
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scientific article; zbMATH DE number 1449651 |
Statements
21 May 2000
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value at risk
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quantile estimation
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empirical quantiles
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normal distribution
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extreme value distribution
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asymptotic variance
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asymptotic confidence intervals
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0.8272923827171326
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0.8242326378822327
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The article is devoted to the estimation of the Value at Risk (VaR) for an open financial risk position (e.g., an asset). The VaR is simply a quantile of high level (like 0.99 or 0.95) of the potential loss distribution. Different methods of quantile estimation are considered including nonparametric (empirical and kernel smoothed empirical quantiles) and parametric (under normal and extreme value distributions). The asymptotic variances of the estimators are evaluated and asymptotic confidence intervals are constructed. Applications to the DEM/USD exchange rates analysis are discussed. For the entire collection see [Zbl 0929.00046].
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