### Abstract

Original language | English |
---|---|

Place of Publication | Tilburg |

Publisher | Finance |

Number of pages | 24 |

Volume | 2003-24 |

Publication status | Published - 2003 |

### Publication series

Name | CentER Discussion Paper |
---|---|

Volume | 2003-24 |

### Fingerprint

### Keywords

- testing
- models
- distribution
- risk management
- derivatives

### Cite this

*Testing Expected Shortfall Models for Derivative Positions*. (CentER Discussion Paper; Vol. 2003-24). Tilburg: Finance.

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**Testing Expected Shortfall Models for Derivative Positions.** / Kerkhof, F.L.J.; Melenberg, B.; Schumacher, J.M.

Research output: Working paper › Discussion paper › Other research output

TY - UNPB

T1 - Testing Expected Shortfall Models for Derivative Positions

AU - Kerkhof, F.L.J.

AU - Melenberg, B.

AU - Schumacher, J.M.

N1 - Pagination: 24

PY - 2003

Y1 - 2003

N2 - In this paper we test several risk management models for computing expected shortfall for one-period hedge errors of hedged derivatives positions.Contrary to value-at-risk, expected shortfall cannot be tested using the standard binomial test, since we need information of the distribution in the tail.As derivatives positions change characteristics and thereby the size of risk exposures over time one cannot apply the standard tests based on stationarity.To overcome this problem, we present a transformation procedure.For comparison purposes the tests are also performed for value-at-risk.

AB - In this paper we test several risk management models for computing expected shortfall for one-period hedge errors of hedged derivatives positions.Contrary to value-at-risk, expected shortfall cannot be tested using the standard binomial test, since we need information of the distribution in the tail.As derivatives positions change characteristics and thereby the size of risk exposures over time one cannot apply the standard tests based on stationarity.To overcome this problem, we present a transformation procedure.For comparison purposes the tests are also performed for value-at-risk.

KW - testing

KW - models

KW - distribution

KW - risk management

KW - derivatives

M3 - Discussion paper

VL - 2003-24

T3 - CentER Discussion Paper

BT - Testing Expected Shortfall Models for Derivative Positions

PB - Finance

CY - Tilburg

ER -