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Chapter 8: Model Risk in Risk Measures Calculations
https://doi.org/10.1142/9789814663410_0008Cited by:0 (Source: Crossref)
Abstract:
The following sections are included:
Introduction
Controlling Risk in Insurance
Diversification
Variance
Coherent Distortion Risk Measures
Value-at-Risk
General observations
Expected shortfall and expected tail loss
Violations ratio
Correct representation
VaR may not be subadditive
Artificial improvement of VaR
Problems at long horizon
Backtesting
Uncertainty in risk estimates: A short overview
Backtesting VaR
Asymptotic Risk of VaR
Normal VaR
More general asymptotic standard errors for VaR
Exact confidence intervals for VaR
Examples
VaR at different significance levels
Exact confidence intervals
Extreme losses estimation and uncertainty
Backtesting expected shortfall
Notes and Summary
