Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1142567 | Operations Research Letters | 2010 | 7 Pages |
Abstract
We compare capital requirements derived from tail conditional expectation (TCE) with those derived from the tail conditional median (TCM). In theory, TCE is higher than TCM for most distributions commonly used in finance and at fixed confidence levels; however, we find that in empirical data, there is no clear-cut relationship between the two. Our results highlight the relevance of TCM as a robust alternative to TCE, especially for regulatory control.
Related Topics
Physical Sciences and Engineering
Mathematics
Discrete Mathematics and Combinatorics
Authors
Martin Eling, Luisa Tibiletti,