تکنیک های کمی برای ارزیابی ریسک مالی: یک رویکرد تطبیقی با استفاده از معیارهای ریسک و روش های مختلف برآورد

The aim of this paper is to highlight and illustrate the use of some quantitative techniques for risk estimation in finance and insurance. The first component involved in risk assessment concerns the risk measure used and the second one is based on the estimation technique. We will study the theoretical properties, the accuracy of modeling the economic phenomena and the computational performances of the risk measures Value-at-Risk, Conditional Tail Expectation, Conditional Value-at-Risk and Limited Value-at-Risk in the case of logistic distribution. We also investigate the most important statistical estimation methods for risk measure evaluation and we will compare their theoretical and empirical behavior. The quality of the risk estimation process corresponding to the quantitative techniques discussed will be tested for both real and simulated data. Numerical results will be provided.