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Article: On the uncertainty of VaR of individual risk

TitleOn the uncertainty of VaR of individual risk
Authors
KeywordsUncertainty
Value at risk
Worst scenario
Robustness
Confidence level
Issue Date2020
PublisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/cam
Citation
Journal of Computational and Applied Mathematics, 2020, v. 367, p. article no. 112468 How to Cite?
AbstractValue at risk (VaR) is a prevalent risk measure used in financial risk management. The calculation of VaR relies on the distribution of the potential loss position which is generally unknown in practice. In this article, we introduce a model of uncertainty for the distribution of a loss variable and investigate the effect on VaR using a worst scenario approach. The proposed model is flexible and can be applied to various types of distributions. The robust VaR and an associated worst scenario measure are identified. It is shown that the choice of the loss model is still important when there is an uncertainty model.
Persistent Identifierhttp://hdl.handle.net/10722/284606
ISSN
2023 Impact Factor: 2.1
2023 SCImago Journal Rankings: 0.858
ISI Accession Number ID

 

DC FieldValueLanguage
dc.contributor.authorCheung, KC-
dc.contributor.authorYuen, FL-
dc.date.accessioned2020-08-07T09:00:03Z-
dc.date.available2020-08-07T09:00:03Z-
dc.date.issued2020-
dc.identifier.citationJournal of Computational and Applied Mathematics, 2020, v. 367, p. article no. 112468-
dc.identifier.issn0377-0427-
dc.identifier.urihttp://hdl.handle.net/10722/284606-
dc.description.abstractValue at risk (VaR) is a prevalent risk measure used in financial risk management. The calculation of VaR relies on the distribution of the potential loss position which is generally unknown in practice. In this article, we introduce a model of uncertainty for the distribution of a loss variable and investigate the effect on VaR using a worst scenario approach. The proposed model is flexible and can be applied to various types of distributions. The robust VaR and an associated worst scenario measure are identified. It is shown that the choice of the loss model is still important when there is an uncertainty model.-
dc.languageeng-
dc.publisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/cam-
dc.relation.ispartofJournal of Computational and Applied Mathematics-
dc.subjectUncertainty-
dc.subjectValue at risk-
dc.subjectWorst scenario-
dc.subjectRobustness-
dc.subjectConfidence level-
dc.titleOn the uncertainty of VaR of individual risk-
dc.typeArticle-
dc.identifier.emailCheung, KC: kccg@hku.hk-
dc.identifier.authorityCheung, KC=rp00677-
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.1016/j.cam.2019.112468-
dc.identifier.scopuseid_2-s2.0-85072750072-
dc.identifier.hkuros311500-
dc.identifier.volume367-
dc.identifier.spagearticle no. 112468-
dc.identifier.epagearticle no. 112468-
dc.identifier.isiWOS:000496861400027-
dc.publisher.placeNetherlands-
dc.identifier.issnl0377-0427-

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