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نتیجه جستجو - تخمین غیر منحرف سنجه های خطر

تعداد مقالات یافته شده: 1
ردیف عنوان نوع
1 Unbiased estimation of risk
تخمین غیر منحرف خطر-2018
The estimation of risk measures recently gained a lot of attention, partly because of the backtesting issues of expected shortfall related to elicitability. In this work we shed a new and fundamental light on optimal estimation procedures of risk measures in terms of bias. We show that once the parameters of a model need to be estimated, one has to take additional care when estimating risks. The typical plug-in approach, for example, introduces a bias which leads to a systematic underestimation of risk. In this regard, we introduce a novel notion of unbiasedness to the estimation of risk which is motivated by economic principles. In general, the proposed concept does not coincide with the well-known statistical notion of unbiasedness. We show that an appropriate bias correction is available for many well-known estimators. In particular, we consider value-at-risk and expected shortfall (tail value-at-risk). In the special case of normal distributions, closed-formed solutions for unbiased estimators can be obtained. We present a number of motivating examples which show the outperformance of unbiased estimators in many circumstances. The unbiasedness has a direct impact on backtesting and therefore adds a further viewpoint to established statistical properties.
keywords: Value-at-risk |Tail value-at-risk |Expected shortfall |Risk measure |Estimation of risk measures |Bias |Risk estimation |Elicitability |Backtest |Unbiased estimation of risk measures
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