VaR is subject to a significant positive bias

DOI10.1016/J.SPL.2005.02.001zbMath1065.62180OpenAlexW2026817825MaRDI QIDQ2483870

Atsushi Kitano, Masaaki Kijima, Koji Inui

Publication date: 1 August 2005

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2005.02.001

zbMATH Keywords

Value-at-riskConcave orderingHarrell-Davis estimatorHistorical simulation

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05)

Related Items (8)

Asymptotics for the linear kernel quantile estimator ⋮ Bias correction for estimated distortion risk measure using the bootstrap ⋮ ESTIMATION-ADJUSTED VAR ⋮ Capital Allocation Using the Bootstrap ⋮ Bahadur representation of linear kernel quantile estimator of VaR under \(\alpha \)-mixing assumptions ⋮ Value-at-risk in a market subject to regime switching ⋮ A New Family of Nonparametric Quantile Estimators ⋮ Quantifying and Correcting the Bias in Estimated Risk Measures

Cites Work

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• Coherent Measures of Risk
• Kernel Quantile Estimators
• A new distribution-free quantile estimator
• PORTFOLIO SELECTION PROBLEMS VIA THE BIVARIATE CHARACTERIZATION OF STOCHASTIC DOMINANCE RELATIONS

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