Typical value-at-risk (VAR) calculations involve the probabilities of extreme dollar losses, based on the statistical distributions of market prices. Such quantities do not account for the fact that the same dollar loss can have two very different economic valuations, depending on business condition...

Ausführliche Beschreibung

Bibliographische Detailangaben

Hauptverfasser:	Aït-Sahalia, Yacine (VerfasserIn), Lo, Andrew W. 1960- (VerfasserIn)
Format:	Buch
Sprache:	English
Veröffentlicht:	Cambridge, Mass. 1997
Schriftenreihe:	National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series 6130
Schlagworte:	Ökonometrisches Modell Equilibrium (Economics) > Econometric models Risk management > Econometric models
Online-Zugang:	Volltext
Zusammenfassung:	Typical value-at-risk (VAR) calculations involve the probabilities of extreme dollar losses, based on the statistical distributions of market prices. Such quantities do not account for the fact that the same dollar loss can have two very different economic valuations, depending on business conditions. We propose a nonparametric VAR measure that incorporates economic valuation according to the state-price density associated with the underlying price processes. The state-price density yields VAR values that are adjusted for risk aversion, time preferences, and other variations in economic valuation. In the context of a representative agent equilibrium model, we construct an estimator of the risk-aversion coefficient that is implied by the joint observations on the cross-section of option prices and time-series of underlying asset values. "
Beschreibung:	44 S. graph. Darst.