Talk on Value-at-Risk estimation

Exposé au séminaire d’Actuariat, à la faculté de Sciences Economiques à Amsterdam (UvA). L’exposé portera sur l’estimation de quantiles (et de Value-at-Risk) sur des données de pertes, avec une application de gestion de portefeuille moyenne-VaR.

In this talk we propose several nonparametric estimators of quantiles based on Beta kernel and applied to transformed data by the generalized Champernowne distribution initially fitted to the data. A Monte-Carlo based study will show that those estimators improve the efficiency, not only for light tailed distributions, but mainly for heavy tailed, when the probability level is close to 1.Another application will be seen, on portfolio optimization in the mean-VaR context.


Leave a Reply

Your email address will not be published. Required fields are marked *

This site uses Akismet to reduce spam. Learn how your comment data is processed.