A note on the statistical robustness of risk measures

Détails

ID Serval
serval:BIB_04FD4EBCA7A6
Type
Article: article d'un périodique ou d'un magazine.
Collection
Publications
Institution
Titre
A note on the statistical robustness of risk measures
Périodique
The Journal of Operational Risk
Auteur⸱e⸱s
Zhelonkin M., Chavez-Demoulin V.
ISSN
1744-6740
Statut éditorial
Publié
Date de publication
06/2017
Peer-reviewed
Oui
Volume
12
Numéro
2
Pages
47-68
Langue
anglais
Résumé
The question of robustness in risk measurement emerged only fairly recently, but it has already attracted considerable attention. The problem has been studied using various approaches, and several methods aiming at robustifying the risk measures have been proposed. However, a general robustness theory is still missing. We focus on the parametric estimators of risk measures and use Hampel’s infinitesimal approach to derive the robustness properties. We derive the influence functions for the general parametric estimators of the value-at-risk and expected shortfall. For various distributions, the classical estimators, such as maximum likelihood, have unbounded influence functions and are not robust. Using the expression for the influence function, we propose a general strategy to construct robust estimators and explore their properties. The use of the methodology is demonstrated through several illustrative examples. Finally, we discuss an operational risk application and highlight the importance of the complementary information provided by nonrobust and robust estimates for regulatory capital calculation.
Mots-clé
expected shortfall (ES), influence function, M-estimation, risk measures, robustness, value-at-risk (VaR), Economics and Econometrics, Business and International Management, Finance
Création de la notice
11/11/2016 14:52
Dernière modification de la notice
20/08/2019 13:26
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