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Application Quantile-Based Risk Measures in Sector Portfolio Analysis—Warsaw Stock Exchange Approach

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Book cover Effective Investments on Capital Markets

Part of the book series: Springer Proceedings in Business and Economics ((SPBE))

Abstract

The measurement of financial risk has been one of the main goals of the investors as well as actuaries and insurance practitioners. Measuring the risk of a financial portfolio involves firstly estimating the loss distribution of the portfolio, next computing chosen risk measure. In the resent study, the robustness of risk measurement procedures and their sensitivity into point out for the dataset in present. The results show a gap between the subadditivity and robustness of risk measurement procedures. We apply into analyses alternative risk measurement procedures that possess the robustness property. The quantile-based risk measures have been applied in sector portfolio analysis for the dataset from Warsaw Stock Exchange.

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Notes

  1. 1.

    D ⊂ L is the convex set of cumulative distribution functions (cdf) on R.

  2. 2.

    Huber [12].

  3. 3.

    If C = D, we have qualitative robustness called asymptotic robustness as outlined [12].

  4. 4.

    In other words, while ρ is the risk measure, we are interested in computing.

  5. 5.

    For any 0 < α1 < α2 < 1, we can notice as β = α2 − α1.

  6. 6.

    Kusuoka [15], Song and Yan [17], Dhaene et al. [5], Grigorova [11], Wang et al. [18].

  7. 7.

    Cont et al. [4], Kou et al. [13], Krätschmer et al. [14], and Embrechts et al. [7].

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Authors and Affiliations

  1. University of Economics in Katowice, Katowice, Poland

    Grażyna Trzpiot

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  1. Grażyna Trzpiot
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Correspondence to Grażyna Trzpiot .

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Editors and Affiliations

  1. Department of Insurance and Capital Markets, University of Szczecin, Szczecin, Poland

    Waldemar Tarczyński

  2. Institute of IT in Management, University of Szczecin, Szczecin, Poland

    Kesra Nermend

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Trzpiot, G. (2019). Application Quantile-Based Risk Measures in Sector Portfolio Analysis—Warsaw Stock Exchange Approach. In: Tarczyński, W., Nermend, K. (eds) Effective Investments on Capital Markets. Springer Proceedings in Business and Economics. Springer, Cham. https://doi.org/10.1007/978-3-030-21274-2_15

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