Revistes Publicacions URV: SORT - Statistics and Operations Research Transactions> 2019

Tail risk measures using flexible parametric distributions

  • Identification data

    Identifier: RP:4681
    Handle: https://hdl.handle.net/20.500.11797/RP4681
    Authors:
    Prieto, FaustinoChuliá, HelenaGuillen, MontserratSarabia, José María
    Abstract:
    We propose a new type of risk measure for non-negative random variables that focuses on the tail of the distribution. The measure is inspired in general parametric distributions that are well-known in the statistical analysis of the size of income. We derive simple expressions for the conditional moments of these distributions, and we show that they are suitable for analysis of tail risk. The proposed method can easily be implemented in practice because it provides a simple one-step way to compute value-at-risk and tail value-at-risk. We show an illustration with currency exchange data. The data and implementation are open access for reproducibility.

  • Others:

    Author, as appears in the article.: Prieto, Faustino Chuliá, Helena Guillen, Montserrat Sarabia, José María
    Keywords: Moments
    Abstract: We propose a new type of risk measure for non-negative random variables that focuses on the tail of the distribution. The measure is inspired in general parametric distributions that are well-known in the statistical analysis of the size of income. We derive simple expressions for the conditional moments of these distributions, and we show that they are suitable for analysis of tail risk. The proposed method can easily be implemented in practice because it provides a simple one-step way to compute value-at-risk and tail value-at-risk. We show an illustration with currency exchange data. The data and implementation are open access for reproducibility.
    Journal publication year: 2019
    Publication Type: ##rt.metadata.pkp.peerReviewed## info:eu-repo/semantics/publishedVersion info:eu-repo/semantics/article