Bootstrap Inference for Risk Measures

Samenvatting

In this project we develop and theoretically validate prediction intervals for risk measures such as Value-at-Risk and Expected Shortfall. These risk measures play a key role in recent financial legislation when it comes to determining capital requirements. Predictions for risk measures are subject to data and estimation uncertainty. To incorporate this uncertainty into the statistical analysis, we propose to construct prediction intervals by means of the bootstrap. The published simulation results are promising. Yet, there is no theoretical result in the literature underpinning the validity of this method. We aim to fill this gap.

Output

Proefschrift

  • Beoogd: Proefschrift

Kenmerken

Projectnummer

406-15-020

Hoofdaanvrager

Dr. E.A. Beutner

Verbonden aan

Maastricht University, School of Business and Economics (SBE), Department of Quantitative Economics

Uitvoerders

A.M. Heinemann

Looptijd

01/09/2015 tot 30/08/2019