On Double Value at Risk

Wanbing Zhang, Sisi Zhang and Peibiao Zhao
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Wanbing Zhang: School of Science, Nanjing University of Science and Technology, Nanjing 210094, China
Sisi Zhang: Securities Co., Ltd., Beijing 102627, China
Peibiao Zhao: School of Science, Nanjing University of Science and Technology, Nanjing 210094, China

Risks, 2019, vol. 7, issue 1, 1-22

Abstract: Value at Risk (VaR) is used to illustrate the maximum potential loss under a given confidence level, and is just a single indicator to evaluate risk ignoring any information about income. The present paper will generalize one-dimensional VaR to two-dimensional VaR with income-risk double indicators. We first construct a double-VaR with ( μ , σ 2 ) (or ( μ , V a R 2 ) ) indicators, and deduce the joint confidence region of ( μ , σ 2 ) (or ( μ , V a R 2 ) ) by virtue of the two-dimensional likelihood ratio method. Finally, an example to cover the empirical analysis of two double-VaR models is stated.

Keywords: double-VaR; joint confidence region; ( ? , VaR 2 ) (search for similar items in EconPapers)
JEL-codes: C G0 G1 G2 G3 K2 M2 M4 (search for similar items in EconPapers)
Date: 2019
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