Calculating Quantile‐Based Risk Analytics with L ‐Estimators

Quantile‐based measures of risk, e.g., value at risk (VaR), are widely used in portfolio risk applications. Increasing attention is being directed toward managing risk, which involves identifying sources of risk and assessing the economic impact of potential trades. This article compares the performance of two quantile‐based VaR estimators commonly applied to assess the market risk of option portfolios and the credit risk of bond portfolios.

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Year of publication:	2003
Authors:	MAUSSER, HELMUT
Published in:	The Journal of Risk Finance. - MCB UP Ltd, ISSN 2331-2947, ZDB-ID 2048922-5. - Vol. 4.2003, 3, p. 61-74
Publisher:	MCB UP Ltd

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Type of publication:	Article
Type of publication (narrower categories):	review-article
Language:	English
Other identifiers:	10.1108/eb022966 [DOI]
Source:	Other ZBW resources

Persistent link: https://www.econbiz.de/10014901668