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Coherent Risk Measures Under Filtered Historical Simulation

Tunaru, Radu, Giannopoulos, Kostas (2005) Coherent Risk Measures Under Filtered Historical Simulation. Journal of Banking and Finance, 29 (4). pp. 979-996. ISSN 0378-4266. (doi:10.1016/j.jbankfin.2004.08.009) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided) (KAR id:25106)

The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided.
Official URL:
http://dx.doi.org/10.1016/j.jbankfin.2004.08.009

Abstract

Recent studies have strongly criticised conventional VaR models for not providing a coherent risk measure. Acerbi provides the intuition for an entire family of coherent measures of risk known as "spectral risk measures" [Spectral measures of risk: A coherent representation of subjective risk aversion. Journal of Banking and Finance 26 (7) (2002) 1505-1518]. In this study we illustrate how the Filtered Historical Simulation [Barone-Adesi, G., Bourgoin, F., Giannopoulos, K., 1998. Don't look back. Risk 11, 100-104; Barone-Adesi, Giannopoulos, K., Vosper, L., 1999. VaR without correlations for non-linear portfolios. Journal of Futures Markets 19, 583-602], can provide an improved methodology for calculating the Expected Shortfall. Thereafter, we prove that these new risk measures are spectral and are coherent as well, following Acerbi. Furthermore, we provide the statistical error formula that allows to calculate the error for our model.

Item Type: Article
DOI/Identification number: 10.1016/j.jbankfin.2004.08.009
Uncontrolled keywords: expected shortfall, filtered historical simulation, ordered statistics, coherent measure, spectral risk measure, generalised extreme value distribution
Subjects: H Social Sciences > H Social Sciences (General)
Divisions: Divisions > Kent Business School - Division > Department of Accounting and Finance
Depositing User: Jennifer Knapp
Date Deposited: 19 Jul 2010 10:51 UTC
Last Modified: 16 Nov 2021 10:03 UTC
Resource URI: https://kar.kent.ac.uk/id/eprint/25106 (The current URI for this page, for reference purposes)

University of Kent Author Information

Tunaru, Radu.

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