新风险测度VAR平方(VAR(2))及其计算第二部分:损害赔偿分配通则案例VAR(2)与ES的比较

Econometric Modeling: Capital Markets - Risk eJournal Pub Date : 2020-05-28 DOI:10.2139/ssrn.3612643

V. B. Minasyan

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引用次数: 0

摘要

本文引入了一种新的风险度量VaR(VaR(2))的概念，并给出了其计算公式。结果表明，要计算VaR(2)，只需计算一个正常度量的风险VaR，并具有一定的置信概率变化。研究了风险度量VaR(2)和ES对风险估计的比值。

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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New Risk Measure VAR Squared (VAR (2)) and its Calculation Part II: Case of the General Law of Allocation of Damages. Comparison of VAR (2) and ES

The work introduces the concept of a new risk measure VaR in a square (VaR(2)) and displays the formula for calculating it. It turns out that to calculate the VaR (2), it is sufficient to calculate a normal measure of risk VaR , with a certain changed confidence probability.

The ratio of risk estimates by risk measures VaR(2) and ES was investigated.

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Econometric Modeling: Capital Markets - Risk eJournal

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