英文标题：
《A nonparametric copula approach to conditional Value-at-Risk》
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作者：
Gery Geenens and Richard Dunn
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最新提交年份：
2019
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英文摘要：
Value-at-Risk and its conditional allegory, which takes into account the available information about the economic environment, form the centrepiece of the Basel framework for the evaluation of market risk in the banking sector. In this paper, a new nonparametric framework for estimating this conditional Value-at-Risk is presented. A nonparametric approach is particularly pertinent as the traditionally used parametric distributions have been shown to be insufficiently robust and flexible in most of the equity-return data sets observed in practice. The method extracts the quantile of the conditional distribution of interest, whose estimation is based on a novel estimator of the density of the copula describing the dynamic dependence observed in the series of returns. Real-world back-testing analyses demonstrate the potential of the approach, whose performance may be superior to its industry counterparts.
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中文摘要：
《巴塞尔银行业市场风险评估框架》的核心是风险价值及其有条件的寓言，其中考虑了有关经济环境的现有信息。本文提出了一种新的非参数框架来估计这种条件风险值。非参数方法尤其重要，因为在实践中观察到的大多数股票收益率数据集中，传统使用的参数分布不够稳健和灵活。该方法提取感兴趣的条件分布的分位数，其估计基于描述收益序列中观察到的动态相关性的copula密度的新估计量。真实世界的回测分析证明了该方法的潜力，其性能可能优于业界同行。
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分类信息：

一级分类：Statistics 统计学
二级分类：Methodology 方法论
分类描述：Design, Surveys, Model Selection, Multiple Testing, Multivariate Methods, Signal and Image Processing, Time Series, Smoothing, Spatial Statistics, Survival Analysis, Nonparametric and Semiparametric Methods
设计，调查，模型选择，多重检验，多元方法，信号和图像处理，时间序列，平滑，空间统计，生存分析，非参数和半参数方法
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一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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一级分类：Statistics 统计学
二级分类：Applications 应用程序
分类描述：Biology, Education, Epidemiology, Engineering, Environmental Sciences, Medical, Physical Sciences, Quality Control, Social Sciences
生物学，教育学，流行病学，工程学，环境科学，医学，物理科学，质量控制，社会科学
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