Abstract
We discuss asymptotic scaling rules for VaR and CVaR in the context of distributions with Pareto style tails. These relationships are easily turned into semiparametric VaR and CVaR estimates with appealing backtesting properties.
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Acknowledgements
Stimulating discussion with participants in MAF’10 Conference and helpful suggestions from two anonymous referees are gratefully acknowledged.
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Fiori, A.M., Rosazza Gianin, E., Spasova, A. (2012). Risk measures and Pareto style tails. In: Perna, C., Sibillo, M. (eds) Mathematical and Statistical Methods for Actuarial Sciences and Finance. Springer, Milano. https://doi.org/10.1007/978-88-470-2342-0_22
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DOI: https://doi.org/10.1007/978-88-470-2342-0_22
Publisher Name: Springer, Milano
Print ISBN: 978-88-470-2341-3
Online ISBN: 978-88-470-2342-0
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