A Non-parametric Method for Calculating Conditional Stressed Value at Risk

We consider the Value at Risk (VaR) of a portfolio under stressed conditions. In practice, the stressed VaR (sVaR) is commonly calculated using the data set that includes the stressed period. It tells us how much the risk amount increases if we use the stressed data set. In this paper, we consider t...

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Bibliographic Details
Main Author: Kohei Marumo
Format: Article
Language:Russian
Published: Plekhanov Russian University of Economics 2017-11-01
Series:Статистика и экономика
Subjects:
Online Access:https://statecon.rea.ru/jour/article/view/1161
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