极端的极端:对非常小的样本进行风险评估，并以加密货币回报的示例应用为例

IF 0.3 4区经济学 Q4 BUSINESS, FINANCE

Journal of Risk Pub Date : 2023-01-01 DOI:10.21314/jor.2023.009

Chri Börner, Ingo Hoffmann, Jonas Krettek, Lars M. Kürzinger, Tim Schmitz

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引用次数: 0

摘要

监管部门要求部分机构投资者进行最坏情况风险评估和最坏情况风险预测。在许多情况下，可用数据的数量(事后)是有限的，风险报告必须事先涵盖长期的时间范围。这两个因素使风险评估乍一看似乎是不可能的。我们提出了一种基于极值的统计分布对非常小的样本(在极端情况下，对于单个数据点)进行风险评估的方法。以加密货币收益为例，对所提出的风险评估方法进行了验证。

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Extremes of extremes: risk assessment for very small samples with an exemplary application for cryptocurrency returns

Regulatory authorities require some institutional investors to carry out a worst-case risk assessment and a worst-case risk forecast. In many cases, the amount of (ex post) available data is limited, and long-term time ranges must be covered ex ante in the risk report. Both of these factors make a risk assessment appear impossible at first glance. We present a method of conducting a risk assessment for very small samples (and, in the extreme case, for a single data point) based on the statistical distribution of the extreme value. The proposed risk assessment method is demonstrated using cryptocurrency returns as an example.

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来源期刊

Journal of Risk BUSINESS, FINANCE-

CiteScore

1.00

自引率

14.30%

发文量

期刊介绍： This international peer-reviewed journal publishes a broad range of original research papers which aim to further develop understanding of financial risk management. As the only publication devoted exclusively to theoretical and empirical studies in financial risk management, The Journal of Risk promotes far-reaching research on the latest innovations in this field, with particular focus on the measurement, management and analysis of financial risk. The Journal of Risk is particularly interested in papers on the following topics: Risk management regulations and their implications, Risk capital allocation and risk budgeting, Efficient evaluation of risk measures under increasingly complex and realistic model assumptions, Impact of risk measurement on portfolio allocation, Theoretical development of alternative risk measures, Hedging (linear and non-linear) under alternative risk measures, Financial market model risk, Estimation of volatility and unanticipated jumps, Capital allocation.