Erschienen in:Columbia University Center for Financial Engineering, Financial Engineering Report ; No. 2007-06
Umfang:
1 Online-Ressource (33 p)
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Nicht zu entscheiden
DOI:
10.2139/ssrn.1086698
Identifikator:
Entstehung:
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments January 1, 2008 erstellt
Beschreibung:
Measuring the risk of a financial portfolio involves two steps: estimating the loss distribution of the portfolio from available observations and computing a quot;risk measurequot; which summarizes the risk of the portfolio. We define the notion of quot;risk measurement procedurequot;, which includes both of these steps, and study the robustness of risk measurement procedures and their sensitivity to a change in the data set. After introducing a rigorous definition of 'robustness' of a risk measurement procedure, we illustrate the presence of a conflict between subadditivity and robustness of risk measurement procedures. We propose a measure of sensitivity for risk measurement procedures and compute the sensitivity function of various examples of risk estimators used in financial risk management, showing that the same risk measure may exhibit quite different sensitivities depending on the estimation procedure used. Our results illustrate in particular that using historical Value at Risk leads to a more robust procedure for risk measurement than recently proposed alternatives like CVaR. We also propose other risk measurement procedures which possess the robustness property