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

• Authors: Leszek Gadomski , Vasile Glavan
• Languages of publication: EN

Abstracts

EN

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

Keywords

EN

Risk management; tail loss; VaR; Expected Shortfall; Harrel-Davis estimator

• Publisher: Katedra Ekonometrii i Statystyki, Szkoła Główna Gospodarstwa Wiejskiego w Warszawie
• Journal: Metody Ilościowe w Badaniach Ekonomicznych
• Year: 2010
• Volume: 11
• Issue: 1
• Pages: 81-89

Dates

published

2010

Contributors

author

Leszek Gadomski

• Collegium Mazovia in Siedlce

author

Vasile Glavan

• Collegium Mazovia in Siedlce; University of Natural Sciences and Humanities in Siedlce, Institute of Mathematics and Physics

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