Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/230721 
Erscheinungsjahr: 
2018
Schriftenreihe/Nr.: 
IRTG 1792 Discussion Paper No. 2018-010
Verlag: 
Humboldt-Universität zu Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series", Berlin
Zusammenfassung: 
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
Schlagwörter: 
Sensitivity
expected shortfall
expectile
Value-at-Risk
risk management
influence function
CRIX
JEL: 
C13
G10
G31
Dokumentart: 
Working Paper

Datei(en):
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