Humboldt-Universität zu Berlin - High Dimensional Nonstationary Time Series

IRTG1792DP2018 010

How Sensitive are Tail-related Risk Measures in a Contamination Neighbourhood?

Wolfgang Karl Härdle
Chengxiu Ling

Estimation or mis-specification errors in the portfolio loss distribution can have a considerable impact
on risk measures. This paper investigates the sensitivity of tail-related risk measures including
the Value-at-Risk, expected shortfall and the expectile-quantile transformation level in an epsiloncontamination
neighbourhood. The findings give the different approximations via the tail heaviness of
the contamination models and its contamination levels. Illustrating examples and an empirical study
on the dynamic CRIX capturing and displaying the market movements are given. The codes used to
obtain the results in this paper are available via

Sensitivity, expected shortfall, expectile, Value-at-Risk, risk management, influence function, CRIX

JEL classification:
C13, G10, G31