Correction du biais d'estimation sur les mesures de risque en finance

Abstract : Focusing on the value-at-risk (VaR) backtesting framework, we present a survey on the accuracy of the correction from estimation effect of the test of Kupiec (Journal of Derivatives, 1995) based on Escanciano and Olmo's papers (2008). This survey leads to build, in a parametric approach, a correction from the estimation effect for the VaR itself. Regarding to down-to-earth considerations, namely the small sizes of samples, the survey shows that the corrections of the estimation effect concerning the VaR and the asymptotical variance of Kupiec's test are inecient : the upgrading is minimal, even null, while computing time increases.
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https://dumas.ccsd.cnrs.fr/dumas-00516027
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Submitted on : Wednesday, September 8, 2010 - 3:34:36 PM
Last modification on : Thursday, February 22, 2018 - 1:06:06 PM
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  • HAL Id : dumas-00516027, version 1

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Jean-Cyprien Héam. Correction du biais d'estimation sur les mesures de risque en finance. Autre. 2009. ⟨dumas-00516027⟩

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