RT Journal Article SR Electronic T1 Using Order Statistics to Estimate Confidence Intervals for Probabilistic Risk Measures JF The Journal of Derivatives FD Institutional Investor Journals SP 77 OP 81 DO 10.3905/jod.2006.667552 VO 14 IS 2 A1 Kevin Dowd YR 2006 UL https://pm-research.com/content/14/2/77.abstract AB Value at Risk (VaR) and related probabilistic risk measures have become ubiquitous in the realm of risk management. But any statistician knows that a point estimate is only part of what one needs to know, the other being a measure of confidence about that estimate. In this article, Dowd provides an easy way to estimate such confidence intervals using the theory of order statistics. The procedure is straightforward, nearly instantaneous to execute, and can be used with any parametric or non-parametric returns distribution.TOPICS: Derivatives, VAR and use of alternative risk measures of trading risk