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On the Role of the Estimation Error in Prediction of Expected Shortfall
Company: Department of Economics, Umea University
Year Of Publication: 2012
Month Of Publication: August
Pages: 19
Download Count: 4
View Count: 1410
Comment Num: 0
Language: English
Source: working paper
Who Can Read: Free
Date: 8-25-2012
Publisher: Administrator
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 estimation error comes into play for the Expected Shortfall. We identify two important aspects where it may be of importance. On the one hand there is in the evaluation of predictors of the measure. On the other there is in the interpretation and communication of it. We illustrate magnitudes numerically and emphasize the practical importance of the latter aspect in an empirical application with stock market index data.
Umea Economics Studies WP #844
This document is published in Journal of Banking and Finance
Lonnbark, Carl Sign in to follow this author
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