Procyclicality of Empirical Measurements of Risk in Financial Markets


In our study we quantify the procyclicality of the historical Value at Risk (VaR). To do so we introduce a dynamic risk measure called Sample Quantile Process (SQP) – a rolling-window generalization of the VaR. By... [ view full abstract ]


  1. Marcel Bräutigam (Sorbonne University; ESSEC Business School; LabEx MME-DII)
  2. Michel Dacorogna (DEAR Consulting)
  3. Marie Kratz (ESSEC Business School, CREAR)

Topic Areas

Capital Requirements , Risk Management , Risk Measures


TU-P-SY » Risk Dynamics (14:30 - Tuesday, 17th July, Synge)

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