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Abstract
This article shows how to apply the theory of order statistics to estimate confidence intervals for quantile-based risk measures, a class that includes the VaR, expected shortfall, and coherent, convex, and spectral risk measures. The proposed method can be applied to any parametric or nonparametric loss distribution, has a number of advantages relative to alternative methods of estimating confidence intervals for financial risk measures, and is straightforward to implement.
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US and Overseas: +1 646-931-9045
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