%0 Journal Article %A Kevin Dowd %T Using Order Statistics to Estimate Confidence Intervals for Quantile-Based Risk Measures %D 2010 %R 10.3905/jod.2010.17.3.009 %J The Journal of Derivatives %P 9-14 %V 17 %N 3 %X 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.TOPICS: VAR and use of alternative risk measures of trading risk, derivatives %U https://jod.pm-research.com/content/iijderiv/17/3/9.full.pdf