• Corpus ID: 248239931

Calibrating distribution models from PELVE

@inproceedings{Assa2022CalibratingDM,
  title={Calibrating distribution models from PELVE},
  author={Hirbod Assa and Liyuan Lin and Ruodu Wang},
  year={2022}
}
The Value-at-Risk (VaR) and the Expected Shortfall (ES) are the two most popular risk measures in banking and insurance regulation. To bridge between the two regulatory risk measures, the Probability Equivalent Level of VaR-ES (PELVE) was recently proposed to convert a level of VaR to that of ES. It is straightforward to compute the value of PELVE for a given distribution model. In this paper, we study the converse problem of PELVE calibration, that is, to find a distribution model that yields… 
[PDF] Semantic Reader

References

SHOWING 1-10 OF 47 REFERENCES

PELVE: Probability Equivalent Level of VaR and ES

In the recent Fundamental Review of the Trading Book (FRTB), the Basel Committee on Banking Supervision proposed the shift from the 99% Value-at-Risk (VaR) to the 97.5% Expected Shortfall (ES) for…

Generalized PELVE and applications to risk measures

The continuing evolution of insurance and banking regulation has raised interest in the calibration of different risk measures associated with suitable confidence levels. In particular, Li and Wang…

Quantile-Based Risk Sharing

It is shown that, in general, a robust optimal allocation exists if and only if none of the underlying risk measures is a VaR, and several novel advantages of ES over VaR from the perspective of a regulator are revealed.

Differential equations connecting VaR and CVaR

Calculating CVaR and bPOE for common probability distributions with application to portfolio optimization and density estimation

Conditional value-at-risk (CVaR) and value-at-risk, also called the superquantile and quantile, are frequently used to characterize the tails of probability distributions and are popular measures of…

What is the Best Risk Measure in Practice? A Comparison of Standard Measures

There is no sufficient evidence to justify an all-inclusive replacement of ES by Expectiles in applications, especially as this paper provides an alternative way for backtesting of ES.

Probability equivalent level of Value at Risk and higher-order Expected Shortfalls

Robustness and sensitivity analysis of risk measurement procedures

Measuring the risk of a financial portfolio involves two steps: estimating the loss distribution of the portfolio from available observations and computing a ‘risk measure’ that summarizes the risk…

Risk Management: Correlation and Dependence in Risk Management: Properties and Pitfalls

This article deals with the static (nontime- dependent) case and emphasizes the copula representation of dependence for a random vector and the problem of finding multivariate models which are consistent with prespecified marginal distributions and correlations is addressed.

A Theory for Measures of Tail Risk

The notion of “tail risk” has been a crucial consideration in modern risk management and financial regulation, as very well documented in the recent regulatory documents. To achieve a comprehensive…