In this thesis, we try to provide a broad
econometric analysis of a class of risk measures, distortion risk measures (DRM). With carefully selected functional form, the
Value-at-Risk (VaR) and Tail-VaR (TVaR) are special cases of DRMs. Besides, the DRM also admits interpretation in the sense of
non-expected utility type of preferences.
We first provide a unified statistical framework for the nonparametric estimators of
the DRMs in a univariate case. The asymptotic properties of both the
DRMs and their sensitivities with respect to the parameters representing risk aversion and/or pessimism are derived. Moreover,
the relationships between the VaR and TVaR are also investigated in detail, which, we hope, can shed new lights on the way passing one risk measure to another. Then, the analysis of DRMs are extended to a multi-dimensional framework, where the DRM is computed for a portfolio consisting of many primitive assets. Analogous to the
mean-variance frontier analysis, we study the efficient portfolio frontier when both objective and constraint are replaced by the
DRMs. We call this the DRM-DRM framework. Under a nonparametric setting, we propose three asymptotic test statistics for evaluating the efficiency of a given portfolio. Finally, we discuss the
criteria used for evaluating models used to forecast the VaRs. More precisely, we propose a criterion which takes into account the loss levels beyond the VaRs.
| Identifer | oai:union.ndltd.org:TORONTO/oai:tspace.library.utoronto.ca:1807/11116 |
| Date | 28 July 2008 |
| Creators | Liu, Wei |
| Contributors | Gourieroux, Christian |
| Source Sets | University of Toronto |
| Language | en_ca |
| Detected Language | English |
| Type | Thesis |
| Format | 1471722 bytes, application/pdf |
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