test Browse by Author Names Browse by Titles of Works Browse by Subjects of Works Browse by Issue Dates of Works
       

Advanced Search
Home   
 
Browse   
Communities
& Collections
  
Issue Date   
Author   
Title   
Subject   
 
Sign on to:   
Receive email
updates
  
My Account
authorized users
  
Edit Profile   
 
Help   
About T-Space   

T-Space at The University of Toronto Libraries >
School of Graduate Studies - Theses >
Doctoral >

Please use this identifier to cite or link to this item: http://hdl.handle.net/1807/11116

Title: Analysis of Risk Measures and Multi-dimensional Risk Dependence
Authors: Liu, Wei
Advisor: Gourieroux, Christian
Department: Economics
Keywords: Risk measures
Nonparametric estimation
Issue Date: 28-Jul-2008
Abstract: 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.
URI: http://hdl.handle.net/1807/11116
Appears in Collections:Doctoral
Department of Economics - Doctoral theses

Files in This Item:

File Description SizeFormat
Liu_Wei_W_200803_PHD_Thesis.pdf1.44 MBAdobe PDF
View/Open

Items in T-Space are protected by copyright, with all rights reserved, unless otherwise indicated.

uoft