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2014•Journal of Guizhou Normal CollegeRequires access

Comparison of the asymptotic relative efficiencies of risk measures VaR and CVaR

Sun Shuang-li

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Abstract

From the perspective of asymptotic relative efficiency and with the exponential power distribution family as a case,the paper discusses the asymptotic properties of VaR and CVaR,and furthermore it compares the asymptotic relative efficiencies of VaR to CVaR for the different values of exponent in the exponential power distribution family. Finally,it is discovered in the research that for large threshold,CVaR is always more relative efficient than VaR,and from the perspective of asymptotic relative efficiency,CVaR is superior to VaR.

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What this paper is about

From the perspective of asymptotic relative efficiency and with the exponential power distribution family as a case,the paper discusses the asymptotic properties of VaR and CVaR,and furthermore it compares the asymptotic relative efficiencies of VaR to CVaR for the different values of exponent in the exponential power distribution family. Finally,it is discovered in the research that for large threshold,CVaR is always more relative efficient than VaR,and from the perspective of asymptotic relative efficiency,CVaR is superior to VaR.

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Available abstract

From the perspective of asymptotic relative efficiency and with the exponential power distribution family as a case,the paper discusses the asymptotic properties of VaR and CVaR,and furthermore it compares the asymptotic relative efficiencies of VaR to CVaR for the different values of exponent in the exponential power distribution family. Finally,it is discovered in the research that for large threshold,CVaR is always more relative efficient than VaR,and from the perspective of asymptotic relative efficiency,CVaR is superior to VaR.

Key concepts: CVAR, Mathematics, Exponential function, Econometrics, Expected shortfall, Economics, Mathematical analysis, Risk management

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