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Range-based risk measures and their applications

Published online by Cambridge University Press:  15 August 2023

Marcelo Brutti Righi Open the ORCID record for Marcelo Brutti Righi [Opens in a new window]  and
Fernanda Maria Müller
Marcelo Brutti Righi*
Affiliation:
Business School Federal University of Rio Grande do Sul Washington Luiz, 855, zip 90010-460, Porto Alegre, Brazil
Fernanda Maria Müller
Affiliation:
Business School Federal University of Rio Grande do Sul Washington Luiz, 855, zip 90010-460, Porto Alegre, Brazil
*
Corresponding author: Marcelo Brutti Righi; Email: marcelo.righi@ufrgs.br
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Abstract

We propose a family of range-based risk measures to generalize the role of value at risk (VaR) in the formulation of range value at risk (RVaR) considering other risk measures induced by a tail level. We discuss this type of measure in detail and its theoretical properties and representations. Moreover, we present a score function to evaluate the forecasts of these measures. In order to present the proposed concepts in an applied way, we performed illustrations using Monte Carlo simulations and real financial data.

Keywords

Financial risktail risk measuresrange-based risk measuresrisk forecasting

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Type
Research Article
Information
ASTIN Bulletin: The Journal of the IAA , Volume 53 , Issue 3 , September 2023 , pp. 636 - 657
Copyright
© The Author(s), 2023. Published by Cambridge University Press on behalf of The International Actuarial Association

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