Computation of the corrected Cornish-Fisher expansion using the response surface methodology: application to \textit{VaR} and \textit{CVaR}

DOI10.1007/S10479-018-2792-4MaRDI QIDQ2288917zbMATH OpenOpenAlexWikidataFDO

Authors Charles-Olivier Amédée-Manesme, Fabrice Barthélémy, Didier Maillard

Publication date 20 January 2020

Published in Annals of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10479-018-2792-4

zbMATH Keywords

Cornish-Fisher expansionexpected shortfallquantilesresponse surface methodologyvalue at risk

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Recommendations

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• HIGHER ORDER RELATIONS BETWEEN CORNISH-FISHER EXPANSIONS AND INVERSIONS OF SADDLEPOINT APPROXIMATIONS

Cites work

• A new family of power transformations to improve normality or symmetry
• A robust desirability function method for multi-response surface optimization considering model uncertainty
• Applied Quantitative Finance
• BIVARIATE DISTRIBUTIONS BASED ON SIMPLE TRANSLATION SYSTEMS
• Coherent measures of risk
• Elements of financial risk management.
• scientific article; zbMATH DE number 1306462 (Why is no real title available?)
• Improving point and interval estimators of monotone functions by rearrangement
• Multivariable Model‐Building
• On some models for value-at-risk
• Optimal portfolio positioning within generalized Johnson distributions
• Process optimization. A statistical approach.
• Rearranging Edgeworth-Cornish-Fisher expansions
• Response surface methodology. Process and product optimization using designed experiments

Cited in

(3)

• Second-order Chebyshev-Edgeworth and Cornish-Fisher expansions for distributions of statistics constructed from samples with random sizes
• Exact first moments of the RV coefficient by invariant orthogonal integration
• A risk measurement study evaluating the impact of COVID-19 on China's financial market using the QR-SGED-EGARCH model

Describes a project that uses

Uses Software

• CAViaR

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