Application Quantile-Based Risk Measures in Sector Portfolio Analysis—Warsaw Stock Exchange Approach

Grażyna Trzpiot ()
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Grażyna Trzpiot: University of Economics in Katowice

Chapter Chapter 15 in Effective Investments on Capital Markets, 2019, pp 215-224 from Springer

Abstract: Abstract The measurement of financial risk has been one of the main goals of the investors as well as actuaries and insurance practitioners. Measuring the risk of a financial portfolio involves firstly estimating the loss distribution of the portfolio, next computing chosen risk measure. In the resent study, the robustness of risk measurement procedures and their sensitivity into point out for the dataset in present. The results show a gap between the subadditivity and robustness of risk measurement procedures. We apply into analyses alternative risk measurement procedures that possess the robustness property. The quantile-based risk measures have been applied in sector portfolio analysis for the dataset from Warsaw Stock Exchange.

Keywords: Risk measurement; Value-at-risk; Expected shortfall; Robustness (search for similar items in EconPapers)
JEL-codes: C19 G11 (search for similar items in EconPapers)
Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:spr:prbchp:978-3-030-21274-2_15

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DOI: 10.1007/978-3-030-21274-2_15

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