How Sensitive are Tail-related Risk Measures in a Contamination Neighbourhood?

Wolfgang Härdle and Chengxiu Ling

No 2018-010, IRTG 1792 Discussion Papers from Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series"

Abstract: Estimation or mis-specification errors in the portfolio loss distribution can have a considerable impact on risk measures. This paper investigates the sensitivity of tail-related risk measures including the Value-at-Risk, expected shortfall and the expectile-quantile transformation level in an epsiloncontamination neighbourhood. The findings give the different approximations via the tail heaviness of the contamination models and its contamination levels. Illustrating examples and an empirical study on the dynamic CRIX capturing and displaying the market movements are given. The codes used to obtain the results in this paper are available via https://github.com/QuantLet/SRMC

Keywords: Sensitivity; expected shortfall; expectile; Value-at-Risk; risk management; influence function; CRIX (search for similar items in EconPapers)
JEL-codes: C13 G10 G31 (search for similar items in EconPapers)
Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:irtgdp:2018010

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