Risk Measures and Capital Allocation

risk measures;capital allocation;conherency;VaR;expected shortfall;backtesting

Wang, Chun-Ju ; Peter Bloomfield, Committee Chair,Wang, Chun-Ju ; Peter Bloomfield ; Committee Chair

University:North Carolina State University

关键词: risk measures;    capital allocation;    conherency;    VaR;    expected shortfall;    backtesting;   

Others  :  https://repository.lib.ncsu.edu/bitstream/handle/1840.16/3005/etd.pdf?sequence=1&isAllowed=y

美国|英语

来源: null

【 摘 要 】

This research first gives a review of risk measures and risk capital allocation, along with the important property of coherency, and the relationships between different coherent risk measures.Secondly, relative accuracy measures are used as model-based criteria to study whether or not bias adjustment by various bootstrap techniques could improve estimates of the expected shortfall (ES) as a risk measure.Thirdly, different tests for backtesting Value-at-Risk (VaR) and ES are investigated as data-based criteria of evaluating risk models.Fourthly, multivariate framework is developed for estimating (conditional) ES and ES risk contributions (ESC), as a principle of capital allocation. Finally, an empirical study of estimating ES and ESC with backtesting is carried out for historical data from Russell Indices.