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Robustness of Conditional Value-at-Risk (CVaR) when Measuring Market Risk across Different Asset Cla
Company: Swiss Institute of Technnology
Company Url: Click here to open
Year Of Publication: 2010
Month Of Publication: March
Pages: 41
Download Count: 35
View Count: 2044
Comment Num: 0
Language: English
Who Can Read: Free
Date: 3-19-2010
Publisher: Administrator
Summary
We investigate the robustness of Conditional Value at Risk for market risk. The analysis is performed on different asset classes including stock indexes, bond indexes, exchange rates and individual stocks. We find that a robust CVaR measure can be constructed for almost all of these assets. The key issue is to choose appropriate parameters, such as confidence levels and ex ante window size for the CVaR estimate. However, in some cases, the CVaR measure is not robust, which happens primarily when measuring market risk on individual stocks.
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Letmark, Mattias Sign in to follow this author
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