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Variability in Modified Estimators o...

Arora, Rohit.

Variability in Modified Estimators of VaR and ES.

紀錄類型:	書目-語言資料,手稿 : Monograph/item
正題名/作者:	Variability in Modified Estimators of VaR and ES./
作者:	Arora, Rohit.
面頁冊數:	1 online resource (25 pages)
附註:	Source: Masters Abstracts International, Volume: 55-06.
Contained By:	Masters Abstracts International55-06(E).
標題:	Statistics. -
電子資源:	click for full text (PQDT)
ISBN:	9781339940465

Variability in Modified Estimators of VaR and ES.
Arora, Rohit.

Variability in Modified Estimators of VaR and ES. - 1 online resource (25 pages)

Source: Masters Abstracts International, Volume: 55-06.

Thesis (Master's)

Includes bibliographical references

Modified Value-at-Risk (mVaR) and Modified Expected Shortfall (mES) are risk estimators that can be calculated without modelling the distribution of asset returns. These modifided estimators use skewness and kurtosis corrections to normal distribution parametric VaR and ES formulas to reduce bias in risk measurement for non-normal return distributions. However, the use of skewness and kurtosis estimators that are needed to implement mVaR and mES can lead to highly inflated mVaR and mES estimator standard errors. To assess the degree of inflation we derive formulas for the large sample standard errors of mVaR and mES using multivariate delta method. Finally, we assess the goodness of our analytical result with small sample Monte-Carlo at Normal and t-ditributions. Our results show that projected standard errors in small sample underestimate the true standard error. Also, the effect is worse for mES than mVaR.

Electronic reproduction.
Ann Arbor, Mich. :
ProQuest,
2018

Mode of access: World Wide Web

ISBN: 9781339940465Subjects--Topical Terms:

556824
Statistics.
Index Terms--Genre/Form:

554714
Electronic books.

Variability in Modified Estimators of VaR and ES.
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005 20180426091041.5
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020 $a 9781339940465
035 $a (MiAaPQ)AAI10138489
035 $a (MiAaPQ)washington:15786
035 $a AAI10138489
040 $a MiAaPQ $b eng $c MiAaPQ
099 $a TUL $f hyy $c available through World Wide Web
100 1 $a Arora, Rohit. $3 1180483
245 1 0 $a Variability in Modified Estimators of VaR and ES.
264 0 $c 2016
300 $a 1 online resource (25 pages)
336 $a text $b txt $2 rdacontent
337 $a computer $b c $2 rdamedia
338 $a online resource $b cr $2 rdacarrier
500 $a Source: Masters Abstracts International, Volume: 55-06.
500 $a Adviser: R Douglas Martin.
502 $a Thesis (Master's) $c University of Washington $d 2016.
504 $a Includes bibliographical references
520 $a Modified Value-at-Risk (mVaR) and Modified Expected Shortfall (mES) are risk estimators that can be calculated without modelling the distribution of asset returns. These modifided estimators use skewness and kurtosis corrections to normal distribution parametric VaR and ES formulas to reduce bias in risk measurement for non-normal return distributions. However, the use of skewness and kurtosis estimators that are needed to implement mVaR and mES can lead to highly inflated mVaR and mES estimator standard errors. To assess the degree of inflation we derive formulas for the large sample standard errors of mVaR and mES using multivariate delta method. Finally, we assess the goodness of our analytical result with small sample Monte-Carlo at Normal and t-ditributions. Our results show that projected standard errors in small sample underestimate the true standard error. Also, the effect is worse for mES than mVaR.
533 $a Electronic reproduction. $b Ann Arbor, Mich. : $c ProQuest, $d 2018
538 $a Mode of access: World Wide Web
650 4 $a Statistics. $3 556824
650 4 $a Finance. $3 559073
655 7 $a Electronic books. $2 local $3 554714
690 $a 0463
690 $a 0508
710 2 $a ProQuest Information and Learning Co. $3 1178819
710 2 $a University of Washington. $b Applied Mathematics. $3 1180484
773 0 $t Masters Abstracts International $g 55-06(E).
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=10138489 $z click for full text (PQDT)

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