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Dokumenttyp:
Zeitschriftenaufsatz 
Autor(en):
Klüppelberg, C. and Zhang, J. 
Titel:
Time-consistency of risk measures with GARCH volatilities and their estimation 
Abstract:
In this paper we study time-consistent risk measures for returns that are given by a GARCH (1; 1) model. We present a construction of risk measures based on their static counterparts that over-comes the lack of time-consistency. We then study in detail our construction for the risk measures Value-at-Risk (VaR) and Average Value-at-Risk (AVaR). While in the VaR case we can derive an analytical formula for its time-consistent counterpart, in the AVaR case we derive lower and upper bounds to its ti...    »
 
Stichworte:
dynamic risk measure, time-consistency, GARCH ( 1 ; 1 ) , Extreme Value Theory, Value-at-Risk, Average Value-at-Risk, Expected Shortfall, Generalized Pareto distribution, aggregate returns 
Zeitschriftentitel:
Statistics & Risk Modeling 
Jahr:
2016 
Band / Volume:
32 
Jahr / Monat:
2016-03 
Quartal:
1. Quartal 
Monat:
Mar 
Heft / Issue:
Seitenangaben Beitrag:
103-124 
Reviewed:
ja 
Sprache:
en 
Print-ISSN:
2193-1402 
E-ISSN:
2196-7040 
Status:
Verlagsversion / published 
TUM Einrichtung:
Lehrstuhl für Mathematische Statistik 
Format:
Text