Model Risk in Risk Measures Calculations

Radu Tunaru

Chapter 8 in Model Risk in Financial Markets:From Financial Engineering to Risk Management, 2015, pp 157-204 from World Scientific Publishing Co. Pte. Ltd.

Abstract: The following sections are included:IntroductionControlling Risk in InsuranceDiversificationVarianceCoherent Distortion Risk MeasuresValue-at-RiskGeneral observationsExpected shortfall and expected tail lossViolations ratioCorrect representationVaR may not be subadditiveArtificial improvement of VaRProblems at long horizonBacktestingUncertainty in risk estimates: A short overviewBacktesting VaRAsymptotic Risk of VaRNormal VaRMore general asymptotic standard errors for VaRExact confidence intervals for VaRExamplesVaR at different significance levelsExact confidence intervalsExtreme losses estimation and uncertaintyBacktesting expected shortfallNotes and Summary

Keywords: Model Risk; Risk Management; Financial Engineering; Financial Markets (search for similar items in EconPapers)
Date: 2015
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