Tail risk measures using flexible parametric distributions

IF 0.7 4区数学 Q4 OPERATIONS RESEARCH & MANAGEMENT SCIENCE

Sort-Statistics and Operations Research Transactions Pub Date : 2019-01-01 DOI:10.2436/20.8080.02.86

J. M. S. Alegría, Montserrat Guillén, Helena Chuliá, Faustino Prieto Mendoza

引用次数: 1

Abstract

We propose a new type of risk measure for non-negative random variables that focuses on the tail of the distribution. The measure is inspired in general parametric distributions that are well-known in the statistical analysis of the size of income. We derive simple expressions for the conditional moments of these distributions, and we show that they are suitable for analysis of tail risk. The proposed method can easily be implemented in practice because it provides a simple one-step way to compute value-at-risk and tail value-at-risk. We show an illustration with currency exchange data. The data and implementation are open access for reproducibility.

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使用灵活参数分布的尾部风险度量

我们提出了一种新的非负随机变量的风险度量，它关注分布的尾部。该方法的灵感来自一般参数分布，这些分布在收入规模的统计分析中是众所周知的。我们推导了这些分布的条件矩的简单表达式，并证明了它们适用于尾部风险的分析。由于该方法提供了一种简单的一步计算风险值和尾部风险值的方法，因此易于在实践中实现。我们将展示一个带有货币兑换数据的插图。为了再现性，数据和实现是开放的。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Sort-Statistics and Operations Research Transactions 管理科学-统计学与概率论

CiteScore

3.10

自引率

0.00%

发文量

审稿时长

>12 weeks

期刊介绍： SORT (Statistics and Operations Research Transactions) —formerly Qüestiió— is an international journal launched in 2003. It is published twice-yearly, in English, by the Statistical Institute of Catalonia (Idescat). The journal is co-edited by the Universitat Politècnica de Catalunya, Universitat de Barcelona, Universitat Autonòma de Barcelona, Universitat de Girona, Universitat Pompeu Fabra i Universitat de Lleida, with the co-operation of the Spanish Section of the International Biometric Society and the Catalan Statistical Society. SORT promotes the publication of original articles of a methodological or applied nature or motivated by an applied problem in statistics, operations research, official statistics or biometrics as well as book reviews. We encourage authors to include an example of a real data set in their manuscripts.