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نتیجه جستجو - خطر دنباله ای

تعداد مقالات یافته شده: 2
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
مقاله انگلیسی
2 National elections and tail risk: International evidence
انتخابات ملّی و خطر دنباله ای: شواهد بین المللی-2018
We investigate stock tail risk around national elections worldwide over the period of 1982–2012. We find that firm stock is less likely to crash during the election years, and is more likely to crash during the post-election period. This inter-temporal pattern is consistent with the suppression of negative information when there is heightened political uncertainty around elections and with the subsequent release of adverse news when the uncertainty is reduced. Further analysis shows that the impact of political uncertainty on tail risk is stronger in countries with poorer investor protection, fewer electoral checks and balances, more uncertain election outcomes and pro-business incumbent governments, in industries which are more politically sensitive, and in firms with larger information asymmetry.
keywords: Political uncertainty |Tail risk |National elections |Political |Risk |Return skewness |Crash risk
مقاله انگلیسی
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