TY  - BOOK
AU  - Gouriéroux,Christian
AU  - Zakoian,Jean-Michel
TI  - Estimation adjusted var
SN  - 02664666
AV  - HB139.T52 ECO 
PY  - 2013///
CY  - Cambridge
PB  - Cambridge University Press
N2  - Standard risk measures, such as the value-at-risk (VaR), or the expected shortfall, have to be estimated, and their estimated counterparts are subject to estimation uncertainty. Replacing, in the theoretical formulas, the true parameter value by an estimator based on n observations of the profit and loss variable induces an asymptotic bias of order 1/n in the coverage probabilities. This paper shows how to correct for this bias by introducing a new estimator of the VaR, called estimation-adjusted VaR (EVaR). This adjustment allows for a joint treatment of theoretical and estimation risks, taking into account their possible dependence. The estimator is derived for a general parametric dynamic model and is particularized to stochastic drift and volatility models. The finite sample properties of the EVaR estimator are studied by simulation and an empirical study of the S&P index is proposed
UR  - https://doi.org/10.1017/S0266466612000680
ER  -