L'approche DARE pour une mesure de risque diversifiée

Benjamin Hamidi, Patrick Kouontchou and Bertrand Maillet
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Benjamin Hamidi: A.A.Advisors-QCG (ABN AMRO) Variances et Centre d'Economie de la Sorbonne
Patrick Kouontchou: Variances et Centre d'Economie de la Sorbonne
Bertrand Maillet: A.A.Advisors-QCG (ABN AMRO), Variances et Centre d'Economie de la Sorbonne

Documents de travail du Centre d'Economie de la Sorbonne from Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne

Abstract: The objective of this paper is to provide a complete framework to aggregate different quantile and expectile models for obtaining more diversified Value-at-Risk and Expected Shortfall measures, by applying the diversification principle to model risk. Following Taylor (2008) and Gouriéroux and Jasiak (2008), we introduce a new class of models called Dynamic AutoRegressive Expectiles (DARE). We first briefly present the main literature about VaR and ES estimations, and we secondly explain the DARE approach and how expectiles can be used to estimate quantile risk measures. We finally use the main validation tests to compare the DARE approach to other traditional methods for computing extreme risk measures on the French stock market

Keywords: Risk measures; Expected Shortfall; Value-at-Risk; Expectile (search for similar items in EconPapers)
JEL-codes: C14 C50 G11 G32 (search for similar items in EconPapers)
Pages: 16 pages
Date: 2010-04
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Published in Revue Economique, 2010, 61, (3), pp.635-643

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Related works:
Journal Article: L'approche dare pour une mesure de risque diversifiée (2010)
Working Paper: L'approche DARE pour une mesure de risque diversifiée (2010)
Working Paper: L'approche DARE pour une mesure de risque diversifiée (2010)
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