When estimating risk measures, whether from historical data or by Monte Carlo simulation, it is helpful to have confidence intervals that provide information about statistical uncertainty. We provide asymptotically valid confidence intervals and confidence regions involving value-at-risk (VaR), conditional tail expectation and expected shortfall (conditional VaR), based on three different methodologies. One is an extension of previous work based on robust statistics, the second is a straightforward application of bootstrapping, and we derive the third using empirical likelihood. We then evaluate the small-sample coverage of the confidence intervals and regions in simulation experiments using financial examples. We find that the coverage probabilities are approximately nominal for large sample sizes, but are noticeably low when sample sizes are too small (roughly, less than 500 here). The new empirical likelihood method provides the highest coverage at moderate sample sizes in these experiments.
scite is a Brooklyn-based organization that helps researchers better discover and understand research articles through Smart Citations–citations that display the context of the citation and describe whether the article provides supporting or contrasting evidence. scite is used by students and researchers from around the world and is funded in part by the National Science Foundation and the National Institute on Drug Abuse of the National Institutes of Health.
hi@scite.ai
10624 S. Eastern Ave., Ste. A-614
Henderson, NV 89052, USA
Copyright © 2024 scite LLC. All rights reserved.
Made with 💙 for researchers
Part of the Research Solutions Family.