Abstract
| Abstract: In financial market, a risk measure is used to determine the amount of capital to be kept in reserve. The purpose of this reserve is to make the risks taken by financial institutions, such as banks and insurance companies, acceptable to the regulator. There are several risk measures available in the literature. In this paper we concentrate more on the disadvantages of Expected Shortfall (ES) which is a popular coherent risk measure. We propose a new risk measure called Bounded Shortfall (BS) which is a comonotonic risk measure. Though it is not a coherent risk measure, we show that it overcomes the disadvantages of ES. Also we show that the variance of BS estimator is less than the ES estimator under certain conditions. |
More Info
The aim of this special issue is to feature research papers on theory, methodology, and applications of models and methods for recent advances in statistical finance. We encourage submissions presenting original works on statistical, computational, and mathematical approaches to modelling and analysis of financial data. Innovative applications and case studies in financial statistics are welcome, especially related to novel methodological challenges in the treatment of big data and high-frequency data.
This special issue will bring together contributions from practitioners and researchers working on different aspects of statistical methods in finance, with methodological interests encompassing, but not limited to, the following domains:
The motivating application areas could be: For More Detail ...If you are a student and want your paper to be considered for student paper competition, then ask your supervisor to send a mail at statfin@cmi.ac.in, with a particular mention that you were the primary contributor and author of the paper by May 15, 2021.
You must submit your paper by May 15, 2021, to be considered for the competition. Mail your paper at statfin@cmi.ac.in
Read more
Application for Registration is open now.
Venue
Virtual platform