Essec\Faculty\Model\Contribution {#2216 ▼
#_index: "academ_contributions"
#_id: "8383"
#_source: array:26 [
"id" => "8383"
"slug" => "8383-risk-measure-estimates-in-quiet-and-turbulent-times-an-empirical-study"
"yearMonth" => "2016-12"
"year" => "2016"
"title" => "Risk Measure Estimates in Quiet and Turbulent Times: An Empirical Study"
"description" => "CHOTARD, R., DACOROGNA, M. et KRATZ, M. (2016). <i>Risk Measure Estimates in Quiet and Turbulent Times: An Empirical Study</i>. ESSEC Business School. 
CHOTARD, R., DACOROGNA, M. et KRATZ, M. (2016). <i>Risk Measure Estimates in Quiet and Turbulent Tim "
"authors" => array:3 [
0 => array:3 [
"name" => "KRATZ Marie"
"bid" => "B00072305"
"slug" => "kratz-marie"
]
1 => array:1 [
"name" => "CHOTARD R."
]
2 => array:1 [
"name" => "DACOROGNA M."
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2021-09-24 10:33:27"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Documents de travail"
"en" => "Working Papers"
]
"support_type" => array:2 [
"fr" => "Editeur"
"en" => "Publisher"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "In this study we empirically explore the capacity of historical VaR to correctly predict the future risk of a financial institution. We observe that rolling samples are better able to capture the dynamics of future risks. We thus introduce another risk measure, the Sample Quantile Process, which is a generalization of the VaR calculated on a rolling sample, and study its behavior as a predictor by varying its parameters. Moreover, we study the behavior of the future risk as a function of past volatility. We show that if the past volatility is low, the historical computation of the risk measure underestimates the future risk, while in period of high volatility, the risk measure overestimates the risk, confirming that the current way financial institutions measure their risk is highly procyclical. In this study we empirically explore the capacity of historical VaR to correctly predict the future "
"en" => "In this study we empirically explore the capacity of historical VaR to correctly predict the future risk of a financial institution. We observe that rolling samples are better able to capture the dynamics of future risks. We thus introduce another risk measure, the Sample Quantile Process, which is a generalization of the VaR calculated on a rolling sample, and study its behavior as a predictor by varying its parameters. Moreover, we study the behavior of the future risk as a function of past volatility. We show that if the past volatility is low, the historical computation of the risk measure underestimates the future risk, while in period of high volatility, the risk measure overestimates the risk, confirming that the current way financial institutions measure their risk is highly procyclical. In this study we empirically explore the capacity of historical VaR to correctly predict the future "
]
"authors_fields" => array:2 [
"fr" => "Systèmes d'Information, Data Analytics et Opérations"
"en" => "Information Systems, Data Analytics and Operations"
]
"indexedAt" => "2025-03-21T14:21:42.000Z"
"docTitle" => "Risk Measure Estimates in Quiet and Turbulent Times: An Empirical Study"
"docSurtitle" => "Working Papers"
"authorNames" => "<a href="/cv/kratz-marie">KRATZ Marie</a>, CHOTARD R., DACOROGNA M."
"docDescription" => "<span class="document-property-authors">KRATZ Marie, CHOTARD R., DACOROGNA M.</span><br><span class="document-property-authors_fields">Information Systems, Data Analytics and Operations</span> | <span class="document-property-year">2016</span> <span class="document-property-authors">KRATZ Marie, CHOTARD R., DACOROGNA M.</span><br><span class= "
"keywordList" => ""
"docPreview" => "<b>Risk Measure Estimates in Quiet and Turbulent Times: An Empirical Study</b><br><span>2016-12 | Working Papers </span> <b>Risk Measure Estimates in Quiet and Turbulent Times: An Empirical Study</b><br><span>2016-12 | Wo "
"docType" => "research"
"publicationLink" => "<a href="#" target="_blank">Risk Measure Estimates in Quiet and Turbulent Times: An Empirical Study</a> <a href="#" target="_blank">Risk Measure Estimates in Quiet and Turbulent Times: An Empirical Study< "
]
+lang: "en"
+"_type": "_doc"
+"_score": 9.006591
+"parent": null
}
