Calculating Quantile‐Based Risk Analytics with L‐Estimators

Abstract

Quantile‐based measures of risk, e.g., value at risk (VaR), are widely used in portfolio risk applications. Increasing attention is being directed toward managing risk, which involves identifying sources of risk and assessing the economic impact of potential trades. This article compares the performance of two quantile‐based VaR estimators commonly applied to assess the market risk of option portfolios and the credit risk of bond portfolios.

Citation

MAUSSER, H. (2003), "Calculating Quantile‐Based Risk Analytics with L‐Estimators", Journal of Risk Finance, Vol. 4 No. 3, pp. 61-74. https://doi.org/10.1108/eb022966