Asymptotic distribution of the sample average value-at-risk
نویسندگان
چکیده
In this paper, we prove a result for the asymptotic distribution of the sample average value-at-risk (AVaR) under certain regularity assumptions. The asymptotic distribution can be used to derive asymptotic confidence intervals when AV aR2(X) is calculated by the Monte Carlo method which is adopted in many risk management systems. We study the effect of the tail behavior of the random variable X on the convergence rate and the improvement of a tail truncation method.
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تاریخ انتشار 2007