论文标题
选择风险和分散度措施对准周期性的影响
The Impact of the Choice of Risk and Dispersion Measure on Procyclicality
论文作者
论文摘要
历史风险措施估计的准周期性意味着，当现有的波动率很高时，当实现的波动性较低时，人们倾向于过高的未来风险，反之亦然的未来风险。出现了不同的问题，与应用和理论有关：哪些影响了准周期性的因素？更具体地说，风险措施的选择如何影响这？这种行为的选择如何变化？不同的基本模型假设如何影响促生周期效应？在本文中，我们将三种不同的众所周知的风险措施（价值风险，预期的短缺，预期）考虑到任何整数$ r> 0 $，作为实现的波动性估计器（其中包括样品方差和样本均值均为样本平均值）和两个模型（$ p $ p $ p $ p $ q）。我们表明，准周期性的强度取决于这三个因素，即风险度量的选择，实现的波动率估计器和所考虑的模型。但是，无论选择如何，准周期性都将永远存在。
Procyclicality of historical risk measure estimation means that one tends to over-estimate future risk when present realized volatility is high and vice versa under-estimate future risk when the realized volatility is low. Out of it different questions arise, relevant for applications and theory: What are the factors which affect the degree of procyclicality? More specifically, how does the choice of risk measure affect this? How does this behaviour vary with the choice of realized volatility estimator? How do different underlying model assumptions influence the pro-cyclical effect? In this paper we consider three different well-known risk measures (Value-at-Risk, Expected Shortfall, Expectile), the r-th absolute centred sample moment, for any integer $r>0$, as realized volatility estimator (this includes the sample variance and the sample mean absolute deviation around the sample mean) and two models (either an iid model or an augmented GARCH($p$,$q$) model). We show that the strength of procyclicality depends on these three factors, the choice of risk measure, the realized volatility estimator and the model considered. But, no matter the choices, the procyclicality will always be present.
