Miniworkshop: Practitioner's Day
Time: Mon, September 08, 2008, 11:45-12:30
Speaker: Peter Schaller
Abstract
Risk management in financial institutions is commonly based on Value at Risk (VaR) calculations. Statistical inference is an essential part of the latter.
The uncertainties involved in this process may lead to misestimations of the VaR. We suggest to apply pivotal quantile estimates as a way to overcome this problem. The implementation is straightforward in the case of structural statistical models. From the economical point of view the determination of the VaR from a pivotal quantile estimate may be seen as a method to consistently include the risk of misestimating the statistical model into the VaR calculation.
Presentation slides (pdf, 144 KB)
URL: www.ricam.oeaw.ac.at/specsem/sef/events/program/presentation.php
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