CEBA Talk: Abderrahim Taamouti, Value-at-Risk under Measurement Error
Автор: Центр эконометрики и бизнес аналитики
Загружено: 2021-10-08
Просмотров: 281
Описание:
Every Friday at 14.00 Moscow time (21:00 AEST / 12:00 BST) Center conducts research seminars online. More about it here: https://ceba-lab.org/seminars/eng
Title: Value-at-Risk under Measurement Error
Speaker: Abderrahim Taamouti (Durham Business School)
Abstract: We propose an optimization-based estimation of Value-at-Risk that corrects for the effect of measurement errors in prices. We show that measurement errors might pose serious problems for estimating risk measures like Value-at-Risk. In particular, when the stock prices are contaminated, the existing estimators of Value-at-Risk are inconsistent and might lead to an underestimation of risk. Using Fourier transform and a deconvolution kernel estimator of the probability distribution function of true latent prices, we derive a robust estimator of Value-at-Risk in the presence of measurement errors. Monte Carlo simulations and a real data analysis illustrate satisfactory performance of the proposed method.
Повторяем попытку...
Доступные форматы для скачивания:
Скачать видео
-
Информация по загрузке:
