Journal of Risk
ISSN:
1465-1211 (print)
1755-2842 (online)
Editor-in-chief: Farid AitSahlia
Estimation risk in financial risk management: a correction
Daniel Giamouridis
Abstract
ABSTRACT
Christoffersen and Goncalves (2005) study the effect of parameter estimation error in computing value-at-risk and expected shortfall through commonly used methods including the Cornish–Fisher and Gram–Charlier approximations approach. We provide a correction to the expression used for the computation of the expected shortfall under the Cornish–Fisher and Gram– Charlier approximations and illustrate the effect of the error found in assessing the accuracy of expected shortfall point forecasts.
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