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Title:CVaR sensitivity with respect to tail thickness PDF Logo
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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