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Sensitivity of Risk Measures
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| Organization: | Charles University of Prague |
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Wolfram Technology Conference 2013
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Champaign, Illinois, USA
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The aim of the contribution is to analyse the sensitivities of financial risk measures (Value at Risk, Conditional Value at Risk, spectral measures, and expectiles) on the underlying distribution of an individual assets as well as on portfolio allocation. Various parametric distributions suitable for financial loss modelling are considered.
Sensitivity and robustness of both parametric and distribution-free estimators of the risk characteristics is investigated for simulated and real data. A limited back-testing is realized for real data.
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http://www.wolfram.com/events/technology-conference/2013
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| WTC2013Presentaion-JanHurt.nb (6.6 MB) - Mathematica Notebook |
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