Ítem
Acceso Abierto
Worst-Case Higher Moment Risk Measure: Addressing Distributional Shifts and Procyclicality
| dc.contributor.gruplac | Grupo de investigaciones. Facultad de Economía. Universidad del Rosario | |
| dc.creator | Castro Iragorri, Carlos Alberto | |
| dc.creator | Gómez De Los Ríos, Fabio Andrés | |
| dc.creator | Quiceno, Nancy | |
| dc.date.accessioned | 2024-02-29T13:51:50Z | |
| dc.date.available | 2024-02-29T13:51:50Z | |
| dc.date.created | 2024-02-28 | |
| dc.date.issued | 2024-02-28 | |
| dc.description | Este artículo aborda la inherente prociclicidad en medidas de riesgo financiero ampliamente adoptadas, como el Expected Shortfall (ES). Proponemos un enfoque innovador que utiliza la medida de riesgo de Momento Superior (HM, por sus siglas en inglés), la cual ofrece una solución robusta a los desplazamientos distribucionales al incorporar características adaptativas. Los resultados empíricos utilizando retornos históricos del S&P500 indican que las medidas de riesgo HM de peor caso reducen significativamente la subestimación del riesgo y proporcionan evaluaciones de riesgo más estables a lo largo del ciclo financiero en comparación con las predicciones tradicionales de ES. Estos resultados sugieren que las medidas de riesgo HM representan una alternativa viable a los complementos regulatorios (add-ons) para pruebas de estrés y mitigación de prociclicidad en la gestión de riesgos financieros. | |
| dc.description.abstract | This paper addresses the inherent procyclicality in widely adopted financial risk measures, such as Expected Shortfall (ES). We propose an innovative approach utilizing the Higher Moment (HM) risk measure, which offers a robust solution to distributional shifts by incorporating adaptive features. Empirical results using historical S&P500 returns indicate that worst-case HM risk measures significantly reduce the underestimation of risk and provide more stable risk assessments throughout the financial cycle compared to traditional ES predictions. These results suggest that HM risk measures represent a viable alternative to regulatory add-ons for stress testing and procyclicality mitigation in financial risk management. | |
| dc.format.extent | 14 pp | |
| dc.format.mimetype | application/pdf | |
| dc.identifier.doi | https://doi.org/10.48713/10336_42303 | |
| dc.identifier.uri | https://repository.urosario.edu.co/handle/10336/42303 | |
| dc.language.iso | eng | |
| dc.publisher | Universidad del Rosario | |
| dc.publisher.department | Facultad de Economía | |
| dc.relation.uri | https://ideas.repec.org/p/col/000092/021048.html | |
| dc.rights | Attribution-NonCommercial 4.0 International | * |
| dc.rights.accesRights | info:eu-repo/semantics/openAccess | |
| dc.rights.acceso | Abierto (Texto Completo) | |
| dc.rights.uri | http://creativecommons.org/licenses/by-nc/4.0/ | * |
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| dc.source.instname | instname:Universidad del Rosario | |
| dc.source.reponame | reponame:Repositorio Institucional EdocUR | |
| dc.subject | Prociclicidad | |
| dc.subject | Riesgo de momento superior | |
| dc.subject | Pruebas de estrés | |
| dc.subject | Expected shortfall | |
| dc.subject.jel | G32 | |
| dc.subject.jel | G17 | |
| dc.subject.jel | C58 | |
| dc.subject.keyword | Procyclicality | |
| dc.subject.keyword | Higher moment risk | |
| dc.subject.keyword | Stress testing | |
| dc.subject.keyword | Expected shortfall | |
| dc.title | Worst-Case Higher Moment Risk Measure: Addressing Distributional Shifts and Procyclicality | |
| dc.type | workingPaper | |
| dc.type.hasVersion | info:eu-repo/semantics/draft | |
| dc.type.spa | Documento de Trabajo |
