A note on pivotal Value-at-Risk estimates

Pflug Georg Ch. and Schaller Peter
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Schaller Peter: Bank Austria, Vienna, Österreich

Statistics & Risk Modeling, 2009, vol. 27, issue 3, 201-209

Abstract: Inspired by the practice of risk management in the financial industry, we introduce the notion of pivotal quantile estimates, and relate it to the theory of structural statistical models. This framework gives a mathematical foundation to unbiased estimation of exceedance probabilities. The application to Value at Risk calculations is illustrated by an operational risk example.

Keywords: Value-at-Risk; pivotal statistic; structure model (search for similar items in EconPapers)
Date: 2009
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DOI: 10.1524/stnd.2009.1059

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