Asymptotic Distribution of the Sample Average Value-at-Risk in the Case of Heavy-Tailed Returns
Journal of Applied Functional Analysis, Vol. 3, pp. 443-461, 2008
18 Pages Posted: 24 Dec 2010
Date Written: November 6, 2007
In this paper, we provide a stable limit theorem for the asymptotic distribution of the sample average value-at-risk when the distribution of the underlying random variable X describing portfolio returns is heavy-tailed. We illustrate the convergence rate in the limit theorem assuming that X has a stable Paretian distribution and Student's t distribution.
Keywords: average value-at-risk, risk measures, heavy-tails, asymptotic distribution, Monte Carlo method
JEL Classification: G32, C16
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