文章基本信息

标题：Tail risk measures using flexible parametric distributions
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作者：José María Sarabia ; Montserrat Guillen ; Helena Chuliá 等
期刊名称：SORT-Statistics and Operations Research Transactions
印刷版ISSN：2013-8830
出版年度：2019
页码：223-236
DOI：10.2436/20.8080.02.86
出版社：SORT- Statistics and Operations Research Transactions
摘要：We propose a new type of risk measure for non-negative random variables that focuses on the tail of the distribution. The measure is inspired in general parametric distributions that are wellknown in the statistical analysis of the size of income. We derive simple expressions for the conditional moments of these distributions, and we show that they are suitable for analysis of tail risk. The proposed method can easily be implemented in practice because it provides a simple one-step way to compute value-at-risk and tail value-at-risk. We show an illustration with currency exchange data. The data and implementation are open access for reproducibility.
关键词：Moments;multi-period risk assessment;value-at-risk