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Moderate deviations for estimators of financial risk under an asymmetric Laplace law
CAI Yujie,GAO Fuqing * #,WANG Shaochen
School of Mathematics and Statistics, Wuhan University, WuHan 430072
*Correspondence author
#Submitted by
Subject:
Funding: National Natural Science Foundation of China (NSFC)(No.11171262), Specialized Research Fund for the Doctoral Program of Higher Education(SRFDP) of China (No.200804860048 )
Opened online:21 March 2012
Accepted by: none
Citation: CAI Yujie,GAO Fuqing,WANG Shaochen.Moderate deviations for estimators of financial risk under an asymmetric Laplace law[OL]. [21 March 2012] http://en.paper.edu.cn/en_releasepaper/content/4470949
 
 
We study moderate deviations of estimators of financial risk under an asymmetric Laplace law. The moderate deviation principles of three kinds of estimators based on parametric and non-parametric methods of VaR and CVaR are obtained by the approximation method and the delta method in large deviations. We also present some numerical comparisons of the estimators.
Keywords:Value-at-risk; Conditional value-at-risk; Moderate deviation principle; Large deviation principle; Delta method
 
 
 

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