Short and Long Term Value at Risk, Skewness, Kurtosis and Coherent Risk Measure

Weiping Li, Guotai Chi and Bin Meng

Applied Economics and Finance, 2016, vol. 3, issue 3, 65-80

Abstract: Standard risk management focuses on short-run risks rather than longer periods. We introduce an improved risk measure which can be used to estimate both short-and long-term structure of value at risk and the corresponding expected shortfall. The short- and long-term coherent measure of risk is specified and computed for both S&P 500, HSI and SHSZ 300. We also test long-term skewness and kurtosis from empirical analysis for S&P 500, HSI and SHSZ 300. We also show that our improved risk measure gives a better estimate of the value at risk for short horizons and never decreases to negative values like VaR for long-run horizons. Both long-term skewness and kurtosis for HSI and SHSZ 300 are analyzed empirically.

Keywords: risk management; short-term risk; long-term risk; skewness; kurotosis; systemic risk (search for similar items in EconPapers)
Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:rfa:aefjnl:v:3:y:2016:i:3:p:65-80

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