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On the Uncertainty of VaR of Individual Risk

Cheung, Ka Chun, Yuen, Fei Lung (2020) On the Uncertainty of VaR of Individual Risk. Journal of Computational and Applied Mathematics, 367 . Article Number 112468. ISSN 0377-0427. (doi:10.1016/j.cam.2019.112468) (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:97132)

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. (Contact us about this Publication)
Official URL:
https://doi.org/10.1016/j.cam.2019.112468

Abstract

Value at risk (VaR) is a prevalent risk measure used in financial risk management. The calculation of VaR relies on the distribution of the potential loss position which is generally unknown in practice. In this article, we introduce a model of uncertainty for the distribution of a loss variable and investigate the effect on VaR using a worst scenario approach. The proposed model is flexible and can be applied to various types of distributions. The robust VaR and an associated worst scenario measure are identified. It is shown that the choice of the loss model is still important when there is an uncertainty model.

Item Type: Article
DOI/Identification number: 10.1016/j.cam.2019.112468
Subjects: Q Science > QA Mathematics (inc Computing science)
Divisions: Divisions > Division of Computing, Engineering and Mathematical Sciences > School of Mathematics, Statistics and Actuarial Science
Depositing User: Kevin Yuen
Date Deposited: 28 Sep 2022 13:24 UTC
Last Modified: 29 Sep 2022 13:48 UTC
Resource URI: https://kar.kent.ac.uk/id/eprint/97132 (The current URI for this page, for reference purposes)

University of Kent Author Information

Yuen, Fei Lung.

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