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On the role of the estimation error in prediction of expected shortfall

Lönnbark, Carl - Institutionen för Nationalekonomi, Umeå Universitet - 2012

In the estimation of risk measures such as Value at Risk and Expected shortfall relatively short estimation windows are typically used rendering the estimation error a possibly non-negligible component. In this paper we build upon previous results for the Value at Risk and discuss how the...

Persistent link: https://www.econbiz.de/10010564003

Uncertainty of Multiple Period Risk Measures

Lönnbark, Carl - Institutionen för Nationalekonomi, Umeå Universitet - 2009

In general, the properties of the conditional distribution of multiple period returns do not follow easily from the one-period data generating process. This renders computation of Value-at-Risk and Expected Shortfall for multiple period returns a non-trivial task. In this paper we consider some...

Persistent link: https://www.econbiz.de/10005198007

A Corrected Value-at-Risk Predictor

Lönnbark, Carl - Institutionen för Nationalekonomi, Umeå Universitet - 2008

In this note it is argued that the estimation error in Value-at-Risk predictors gives rise to underestimation of portfolio risk. We propose a simple correction and find in an empirical illustration that it is economically relevant.

Persistent link: https://www.econbiz.de/10005651967

Payments systems in the global economy : risks and opportunities ; proceedings, 34th Annual Conference on Bank Structure and Competition

1998

Persistent link: https://www.econbiz.de/10001712135

The effect of school finance reform on population heterogeneity

Aaronson, Daniel - Federal Reserve Bank of Chicago - 1998

This paper tests whether state school finance reform alters neighborhood income homogeneity. One implication of the … jurisdictions to set local tax and expenditure levels. The property tax revolt and the school finance equalization reform of the … that school finance has a significant effect on school district income sorting, especially among low income communities. …

Persistent link: https://www.econbiz.de/10005419876