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| Title: | | CVaR sensitivity with respect to tail thickness  |
| Authors: | | Stoyanov, Stoyan V. Rachev, Svetlozar T. Fabozzi, Frank J. |
| Issue Date: | | 2011 |
| Series/Report no.: | | Working paper series in economics 29 |
| Abstract: | | We consider the sensitivity of conditional value-at-risk (CVaR) with respect to the tail index assuming regularly varying tails and exponential and faster-than-exponential tail decay for the return distribution. We compare it to the CVaR sensitivity with respect to the scale parameter for stable Paretian, the Student's t, and generalized Gaussian laws and discuss implications for the modeling of daily returns and marginal rebalancing decisions. Finally, we explore empirically the impact on the asymptotic variability of the CVaR estimator with daily returns which is a standard choice for the return frequency for risk estimation. |
| Subjects: | | fat-tailed distributions regularly varying tails conditional value-at-risk marginal rebalancing asymptotic variability |
| Persistent Identifier of the first edition: | | urn:nbn:de:swb:90-232402 |
| Document Type: | | Working Paper |
| Appears in Collections: | | Working Paper Series in Economics, Karlsruher Institut für Technologie (KIT)
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