Asymptotics for value at risk and conditional tail expectation of a portfolio loss

descriptionPublicationkeyboard_double_arrow_right Article 20 Jul 2020 English Publisher:WileyJournal:Applied Stochastic Models in Business and Industry, volume 37, pages 266-281 (issn: 1524-1904, eissn: 1526-4025,

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Authors: Xiaonan Su; Xinzhi Wang; Yang Yang;

doi: 10.1002/asmb.2561

Asymptotics for value at risk and conditional tail expectation of a portfolio loss

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Abstract

Consider a risk model in which X1,…, Xn are n potential losses from different risky assets at the terminal time, and are n discount factors over the period. In this paper, we establish some asymptotic formulas for the value at risk and conditional tail expectation of the total discounted loss of an investment portfolio. We also demonstrate our obtained results through Monte Carlo simulations with asymptotics.

Related Organizations

Nanjing Audit University
China (People's Republic of)

Keywords

heavy tailed distribution, asymptotics, Statistics, conditional tail expectation, quasi-asymptotic independence, value at risk

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