Barczy Mátyás: On estimations of Value at Risk and Expected Shortfall

SZTE, TTIK, Bolyai Intézet,  Sztochasztika szeminárium

Absztract: We derive new estimators for the Value at Risk and the Expected Shortfall of loss distributions, and we give special forms for notable ones such as exponential, Pareto type I, lognormal and compound (Poisson) distributions. Our approximations are based on extensions of the so-called Normal Power Approximation, used for approximating the cumulative distribution function of a random variable, incorporating not only the skewness but the kurtosis of the random variable in question as well. (This is a joint work with Adam Dudas and Jozsef Gall.)