統計数学セミナー

過去の記録 ~04/21次回の予定今後の予定 04/22~

担当者 吉田朋広、荻原哲平、小池祐太
セミナーURL http://www.sigmath.es.osaka-u.ac.jp/~kamatani/statseminar/
目的 確率統計学およびその関連領域に関する研究発表, 研究紹介を行う.

2007年11月14日(水)

16:20-17:30   数理科学研究科棟(駒場) 122号室
塚原 英敦 氏 (成城大学経済学部)
Estimation of Distortion Risk Measures
[ 講演概要 ]
By Kusuoka's representation theorem, the class of distortion risk measures with convex distortions coincides with the set of coherent risk measures that are law invariant and comonotonically additive. The class includes the renowned expected shortfall which has many nice features and is of frequent use in practice. To implement the risk management/regulatory procedure using risk measures, it is necessary to estimate the values of such risk measures. For a distortion risk measure, its form suggests a natural estimator which is a simple form of $L$-statistics. We have seen in our previous work that it has nice asymptotic properties with i.i.d.\\ data. After reviewing these results briefly, we investigate the large sample properties of the estimator based on dependent data, especially GARCH sequences, which are often used for modelling financial time series data. Related issues such as semiparametric estimation with the extreme value theory and backtesting are briefly addressed.
[ 参考URL ]
https://www.ms.u-tokyo.ac.jp/~kengok/statseminar/2007/09.html