VaR and expected shortfall: a non-normal regime switching framework
| dc.contributor.author | Elliott, Robert J., author | |
| dc.contributor.author | Miao, Hong, author | |
| dc.contributor.author | Quantitative Finance, publisher | |
| dc.date.accessioned | 2020-05-18T22:28:07Z | |
| dc.date.available | 2020-05-18T22:28:07Z | |
| dc.date.issued | 2009-09 | |
| dc.description | Includes bibliographical references (pages 20-22). | |
| dc.description | Published as: Quantitative Finance, vol.9, no. 6, pp.747-755, September 2009, https://doi.org/10.1080/14697680902849320. | |
| dc.description.abstract | We have developed a regime switching framework to compute the Value at Risk and Expected Shortfall measures. Although Value at Risk as a risk measure has been criticized by some researchers for lack of subadditivity, it is still a central tool in banking regulations and internal risk management in the finance industry. In contrast, Expected Shortfall (ES) is coherent and convex, so it is a better measure of risk than Value at Risk. Expected Shortfall is widely used in the insurance industry and has the potential to replace Value at Risk as a standard risk measure in the near future. We have proposed regime switching models to measure value at risk and expected shortfall for a single financial asset as well as financial portfolios. Our models capture the volatility clustering phenomenon and variance-independent variation in the higher moments by assuming the returns follow Student-t distributions. | |
| dc.format.medium | born digital | |
| dc.format.medium | articles | |
| dc.identifier.bibliographicCitation | Elliott, R., & Miao, H. (2009). VaR and expected shortfall: a non-normal regime switching framework. Quantitative Finance, 9(6), 747–755. https://doi.org/10.1080/14697680902849320 | |
| dc.identifier.uri | https://hdl.handle.net/10217/206887 | |
| dc.language | English | |
| dc.language.iso | eng | |
| dc.publisher | Colorado State University. Libraries | |
| dc.relation.ispartof | Faculty Publications | |
| dc.rights | ©2009 Informa UK Limited. Author can archive pre-print and post-print. | |
| dc.rights | Copyright and other restrictions may apply. User is responsible for compliance with all applicable laws. For information about copyright law, please see https://libguides.colostate.edu/copyright. | |
| dc.subject | value at risk (VaR) | |
| dc.subject | expected shortfall (ES) | |
| dc.subject | regime switching | |
| dc.subject | student-t distribution | |
| dc.subject | fat tailed | |
| dc.subject | volatility clustering | |
| dc.title | VaR and expected shortfall: a non-normal regime switching framework | |
| dc.type | Text |
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