We discuss asymptotic scaling rules for VaR and CVaR in the context of distributions with Pareto style tails. These relationships are easily turned into semiparametric VaR and CVaR estimates with appealing backtesting properties. © Springer-Verlag Italia 2012.

Fiori, A., ROSAZZA GIANIN, E., Spasova, A. (2012). Risk measures and Pareto tails. In C. Perna, M. Sibillo (a cura di), Mathematical and Statistical Methods for Actuarial Sciences and Finance (pp. 183-191). Springer [10.1007/978-88-470-2342-0_22].

Risk measures and Pareto tails

FIORI, ANNA MARIA;ROSAZZA GIANIN, EMANUELA;
2012

Abstract

We discuss asymptotic scaling rules for VaR and CVaR in the context of distributions with Pareto style tails. These relationships are easily turned into semiparametric VaR and CVaR estimates with appealing backtesting properties. © Springer-Verlag Italia 2012.
Capitolo o saggio
risk measures; Pareto tails; VaR; CVaR
English
Mathematical and Statistical Methods for Actuarial Sciences and Finance
Perna, C; Sibillo, M
2012
978-88-470-2341-3
Springer
183
191
Fiori, A., ROSAZZA GIANIN, E., Spasova, A. (2012). Risk measures and Pareto tails. In C. Perna, M. Sibillo (a cura di), Mathematical and Statistical Methods for Actuarial Sciences and Finance (pp. 183-191). Springer [10.1007/978-88-470-2342-0_22].
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10281/32023
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