An asymptotic test for the Conditional Value-at-Risk

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.

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Year of publication:	2015-10-21
Authors:	Vékás, Péter
Publisher:	Corvinus University of Budapest Faculty of Economics
Subject:	Mathematics \| Econometrics \| Finance \| General statistics

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Type of publication:	Book / Working Paper
Notes:	Vékás, Péter (2015) An asymptotic test for the Conditional Value-at-Risk. Working Paper. Corvinus University of Budapest Faculty of Economics.
Source:	BASE