Essec\Faculty\Model\Contribution {#2188
  #_index: "academ_contributions"
  #_id: "13936"
  #_source: array:26 [
    "id" => "13936"
    "slug" => "how-do-empirical-estimators-of-popular-risk-measures-impact-pro-cyclicality"
    "yearMonth" => "2023-09"
    "year" => "2023"
    "title" => "How do empirical estimators of popular risk measures impact pro-cyclicality?"
    "description" => "BRÄUTIGAM, M. et KRATZ, M. (2023). How do empirical estimators of popular risk measures impact pro-cyclicality? <i>Annals of Actuarial Science</i>, 17(3), pp. 547-579."
    "authors" => array:2 [
      0 => array:3 [
        "name" => "KRATZ Marie"
        "bid" => "B00072305"
        "slug" => "kratz-marie"
      ]
      1 => array:1 [
        "name" => "BRÄUTIGAM Marcel"
      ]
    ]
    "ouvrage" => ""
    "keywords" => array:7 [
      0 => "Asymptotic normality"
      1 => "Expected shortfall -Expectile -Estimators -(Filtered)"
      2 => """
        \n
        Historical simulation
        """
      3 => "Measure of dispersion"
      4 => "Pro-cyclicality"
      5 => "Risk measure"
      6 => """
        Sample quantile\n
        Value-at-risk
        """
    ]
    "updatedAt" => "2023-11-28 15:10:22"
    "publicationUrl" => "https://urldefense.proofpoint.com/v2/url?u=https-3A__doi.org_10.1017_S1748499523000039&d=DwMFaQ&c=oS_0xOYps7FNW56RWijYeQ&r=XOcJOIAyw3LSRph5STbvfQ&m=uECq2vftznPMs-bTe36CXi9TELU1awhSUE-eVMIYLUleDXDDGkUrNnX7u084JHm8&s=j8NO6jE4RliMrXEzDgvlTIZBCV8R6flxrrvESVKL"
    "publicationInfo" => array:3 [
      "pages" => "547-579"
      "volume" => "17"
      "number" => "3"
    ]
    "type" => array:2 [
      "fr" => "Articles"
      "en" => "Journal articles"
    ]
    "support_type" => array:2 [
      "fr" => "Revue scientifique"
      "en" => "Scientific journal"
    ]
    "countries" => array:2 [
      "fr" => null
      "en" => null
    ]
    "abstract" => array:2 [
      "fr" => "Risk measurements are clearly central to risk management, in particular for banks, (re)insurance companies, and investment funds. The question of the appropriateness of risk measures for evaluating the risk of financial institutions has been heavily debated, especially after the financial crisis of 2008/2009. Another concern for financial institutions is the pro-cyclicality of risk measurements. In this paper, we extend existing work on the pro-cyclicality of the Value-at-Risk to its main competitors, Expected Shortfall, and Expectile: We compare the pro-cyclicality of historical quantile-based risk estimation, taking into account the market state. To characterise the latter, we propose various estimators of the realised volatility. Considering the family of augmented GARCH(p, q) processes (containing well-known GARCH models and iid models, as special cases), we prove that the strength of pro-cyclicality depends on the three factors: the choice of risk measure and its estimators, the realised volatility estimator and the model considered, but, no matter the choices, the pro-cyclicality is always present. We complement this theoretical analysis by performing simulation studies in the iid case and developing a case study on real data."
      "en" => "Risk measurements are clearly central to risk management, in particular for banks, (re)insurance companies, and investment funds. The question of the appropriateness of risk measures for evaluating the risk of financial institutions has been heavily debated, especially after the financial crisis of 2008/2009. Another concern for financial institutions is the pro-cyclicality of risk measurements. In this paper, we extend existing work on the pro-cyclicality of the Value-at-Risk to its main competitors, Expected Shortfall, and Expectile: We compare the pro-cyclicality of historical quantile-based risk estimation, taking into account the market state. To characterise the latter, we propose various estimators of the realised volatility. Considering the family of augmented GARCH(p, q) processes (containing well-known GARCH models and iid models, as special cases), we prove that the strength of pro-cyclicality depends on the three factors: the choice of risk measure and its estimators, the realised volatility estimator and the model considered, but, no matter the choices, the pro-cyclicality is always present. We complement this theoretical analysis by performing simulation studies in the iid case and developing a case study on real data."
    ]
    "authors_fields" => array:2 [
      "fr" => "Systèmes d’Information, Sciences de la Décision et Statistiques"
      "en" => "Information Systems, Decision Sciences and Statistics"
    ]
    "indexedAt" => "2024-04-27T18:21:45.000Z"
    "docTitle" => "How do empirical estimators of popular risk measures impact pro-cyclicality?"
    "docSurtitle" => "Journal articles"
    "authorNames" => "<a href="/cv/kratz-marie">KRATZ Marie</a>, BRÄUTIGAM Marcel"
    "docDescription" => "<span class="document-property-authors">KRATZ Marie, BRÄUTIGAM Marcel</span><br><span class="document-property-authors_fields">Information Systems, Decision Sciences and Statistics</span> | <span class="document-property-year">2023</span>"
    "keywordList" => """
      <a href="#">Asymptotic normality</a>, <a href="#">Expected shortfall -Expectile -Estimators -(Filtered)</a>, <a href="#">\n
      Historical simulation</a>, <a href="#">Measure of dispersion</a>, <a href="#">Pro-cyclicality</a>, <a href="#">Risk measure</a>, <a href="#">Sample quantile\n
      Value-at-risk</a>
      """
    "docPreview" => "<b>How do empirical estimators of popular risk measures impact pro-cyclicality?</b><br><span>2023-09 | Journal articles </span>"
    "docType" => "research"
    "publicationLink" => "<a href="https://urldefense.proofpoint.com/v2/url?u=https-3A__doi.org_10.1017_S1748499523000039&d=DwMFaQ&c=oS_0xOYps7FNW56RWijYeQ&r=XOcJOIAyw3LSRph5STbvfQ&m=uECq2vftznPMs-bTe36CXi9TELU1awhSUE-eVMIYLUleDXDDGkUrNnX7u084JHm8&s=j8NO6jE4RliMrXEzDgvlTIZBCV8R6flxrrvESVKL" target="_blank">How do empirical estimators of popular risk measures impact pro-cyclicality?</a>"
  ]
  +lang: "en"
  +"_type": "_doc"
  +"_score": 8.789233
  +"parent": null
}