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1 août 2022
- handle: 10670/1.azstm2
- hal: hal-04325627
info:eu-repo/semantics/OpenAccess
Mots-clés
VaR TCE extended TCE Insurance regulation Risk measurementSujets proches
Commonwealth, The Administration Scientific research Science research Science--Research Probability Statistical inference Political thought Government Political theory Civil government Commonwealth, The Science, Political Administration Politics Papers Measuring Mensuration Administration Assurance (Insurance) Coverage, Insurance Insurance protection Insurance coverage Insurance industry Indemnity insurance Mutual insurance Underwriting Financial intermediaries Lending institutions Funds Funding Administration Public administration--Law and legislation Law, Administrative Estates, Administration of Administration Finance, commerce, confiscations, etcCiter ce document
Silvia Faroni et al., « Equivalent Risk Indicators : VaR, TCE, and Beyond », HAL-SHS : économie et finance, ID : 10670/1.azstm2
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Résumé
While a lot of research concentrates on the respective merits of VaR and TCE, which are the two most classic risk indicators used by financial institutions, little has been written on the equivalence between such indicators. Further, TCE, despite its merits, may not be the most accurate indicator to take into account the nature of probability distribution tails. In this paper, we introduce a new risk indicator that extends TCE to take into account higher-order risks. We compare the quantiles of this indicator to the quantiles of VaR in a simple Pareto framework, and then in a generalized Pareto framework. We also examine equivalence results between the quantiles of high-order TCEs.