An asymptotic test for the Conditional Value-at-Risk

Vékás, Péter (2015) An asymptotic test for the Conditional Value-at-Risk. Working Paper. Corvinus University of Budapest Faculty of Economics.

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Presented at the ASTIN 2015 Colloquium.


Conditional Value-at-Risk (equivalent to the Expected Shortfall, Tail Value-at-Risk and Tail Conditional Expectation in the case of continuous probability distributions) is an increasingly popular risk measure in the fields of actuarial science, banking and finance, and arguably a more suitable alternative to the currently widespread Value-at-Risk. In my paper, I present a brief literature survey, and propose a statistical test of the location of the CVaR, which may be applied by practising actuaries to test whether CVaR-based capital levels are in line with observed data. Finally, I conclude with numerical experiments and some questions for future research.

Item Type:Monograph (Working Paper)
Series Name:Corvinus Economics Working Papers - CEWP
Series Number / Identification Number:2015/19
Uncontrolled Keywords:risk measures, Conditional Value-at-Risk, hypothesis testing, actuarial science
JEL classification:C01 - Econometrics
Divisions:Faculty of Economics > Department of Operations Research and Actuarial Sciences
Subjects:Mathematics, Econometrics
General statistics
Projects:MTA-BCE Lendület Strategic Interactions Research Group
ID Code:2095
Deposited By: Péter Vékás
Deposited On:09 Oct 2015 07:11
Last Modified:06 Nov 2015 13:40

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