Work

Expected shortfall and Harell-Davis estimators of value-at-risk

Year: 2010

Type: article

Abstract: The most widely used estimator for the Value-at-Risk is thecorresponding order statistic. It relies on a single historic observation date,therefore it can exhibit high variability and provides little information aboutthe distribution of losses around the tail. In this paper we purpose to replacethis estimator of VaR by an appropriately chosen estimator of the ExpectedShortfall. We also consider the Harrel-Davis estimator of VaR and give somecomparative analysis among these estimators

Source: DOAJ (DOAJ: Directory of Open Access Journals)

Authors: Leszek Gadomski, Vasile Glavan

Institutions: Collegium Mazovia Innowacyjna Szkoła Wyższa, University of Siedlce

Language: Polish

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W1504875706

FWCI:

Cites: 7

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Related to: 10