Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/230721
Authors: 
Härdle, Wolfgang Karl
Ling, Chengxiu
Year of Publication: 
2018
Series/Report no.: 
IRTG 1792 Discussion Paper No. 2018-010
Abstract: 
Estimation or mis-specification errors in the portfolio loss distribution can have a considerable impact on risk measures. This paper investigates the sensitivity of tail-related risk measures including the Value-at-Risk, expected shortfall and the expectile-quantile transformation level in an epsiloncontamination neighbourhood. The findings give the different approximations via the tail heaviness of the contamination models and its contamination levels. Illustrating examples and an empirical study on the dynamic CRIX capturing and displaying the market movements are given. The codes used to obtain the results in this paper are available via https://github.com/QuantLet/SRMC
Subjects: 
Sensitivity
expected shortfall
expectile
Value-at-Risk
risk management
influence function
CRIX
JEL: 
C13
G10
G31
Document Type: 
Working Paper

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