B0785
Title: Partially reduced-bias value-at-risk estimation
Authors: Dinis Pestana - FCiencias.ID, Universidade de Lisboa and CEAUL (Portugal) [presenting]
Ivette Gomes - FCiencias.ID, Universidade de Lisboa and CEAUL (Portugal)
Frederico Caeiro - NOVA.ID.FCT - Universidade Nova de Lisboa (Portugal)
Fernanda Otilia Figueiredo - FFCUL, Universidade de Lisboa, CEAUL (Portugal)
Ligia Henriques-Rodrigues - University of Sao Paulo (Brazil)
Abstract: The value-at-risk (VaR) at a small level $q$, $0<q<<1$, is the size of the loss that occurs with a probability $q$. Semi-parametric partially reduced-bias (PRB) VaR-estimation procedures based on the mean-of-order-$p$ of a set of $k$ quotients of upper order statistics, with $p$ any real number, are put forward. After a reference to their asymptotic behaviour, these PRB VaR-estimators are altogether compared with the classical ones for finite samples, through a large-scale Monte-Carlo simulation study. A brief application to financial log-returns is also provided.
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