How Sensitive are Tail-Related Risk Measures in a Contamination Neighbourhood?
IRTG 1792 Discussion Paper No. 2018-010
26 Pages Posted: 30 Jul 2018
Date Written: February 22, 2018
Abstract
Estimation or mis-specification errors in the portfolio loss distribution can have a considerable impact on risk measures. This paper investigates the sensitivity of tail-related risk measures including the Value-at-Risk, expected shortfall and the expectile-quantile transformation level in an epsilon-contamination neighbourhood. The findings give the different approximations via the tail heaviness of the contamination models and its contamination levels. Illustrating examples and an empirical study on the dynamic CRIX capturing and displaying the market movements are given.
Keywords: sensitivity, expected shortfall, expectile, Value-at-Risk, risk management, influence function, CRIX
JEL Classification: C13, G10, G31
Suggested Citation: Suggested Citation