Scaling Conditional Tail Probability and Quantile Estimators

16 Pages Posted: 4 Dec 2009

See all articles by John Cotter

John Cotter

University College Dublin; UCLA Anderson School of Management

Date Written: December 2, 2009

Abstract

A key issue for risk management in practice is to decide the relevant horizon associated with risk measurement. Many different horizons may be relevant from short (eg. daily) to long (eg. monthly) timeframes and the risk manager must be able to provide measures across a range of horizons.1 This article measures risk at different horizons using volatility forecasts at high frequency as inputs that are then scaled for longer horizons.

Keywords: Scaling, Value at Risk, extreme value theory, conditional risk

JEL Classification: G01, G1

Suggested Citation

Cotter, John, Scaling Conditional Tail Probability and Quantile Estimators (December 2, 2009). Available at SSRN: https://ssrn.com/abstract=1517143 or http://dx.doi.org/10.2139/ssrn.1517143

John Cotter (Contact Author)

University College Dublin ( email )

School of Business, Carysfort Avenue
Blackrock, Co. Dublin
Ireland
353 1 716 8900 (Phone)
353 1 283 5482 (Fax)

HOME PAGE: http://www.ucd.ie/bankingfinance/staff/professorjohncotter/

UCLA Anderson School of Management ( email )

110 Westwood Plaza
Los Angeles, CA 90095-1481
United States

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