Probability-unbiased Value-at-Risk estimators

DOI10.1080/14697681003687569MaRDI QIDQ2869965zbMATH OpenOpenAlexFDO

Authors Ivo Francioni, Florian Herzog

Publication date 17 January 2014

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697681003687569

zbMATH Keywords

Gaussian processesvalue at riskrisk measuresparameter estimation techniques

Mathematics Subject Classification ID

Point estimation (62F10) Gaussian processes (60G15) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Statistical methods; risk measures (91G70)

Recommendations

• Nonparametric estimation of value-at-risk
• Value-at-risk in uncertain random risk analysis
• Nonparametric Estimation for Risk in Value-at-Risk Estimator
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• Unbiased risk estimation method for covariance estimation
• Nonparametric estimation of risk-neutral densities
• Empirical likelihood-based evaluations of value at risk models
• scientific article; zbMATH DE number 5668415
• How to estimate the value at risk under incomplete information

Cites work

• Coherent measures of risk
• Interval estimation of value-at-risk based on GARCH models with heavy-tailed innovations
• Order Statistics

Cited in

(10)

• Adjusted empirical likelihood for value at risk and expected shortfall
• VaR is subject to a significant positive bias
• Unbiased risk estimation method for covariance estimation
• Estimating and backtesting risk under heavy tails
• Quantifying and Correcting the Bias in Estimated Risk Measures
• How to estimate the value at risk under incomplete information
• Estimation-adjusted VaR
• Probability equivalent level of value at risk and higher-order expected shortfalls
• A note on pivotal value-at-risk estimates
• Estimating quantiles with Linex loss function. Applications to VaR estimation

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