Introducing new risk measure Glue VaR and its estimation using composite quantile regression model

Subject Areas : Financial engineering

Ali Aghamohammadi ¹ , Mahdi Sojoudi ² , Meysam Sojoudi ³ , mohammad Javad Tavoosi ⁴

1 - Assistant professor, Department of statistics, University of Zanjan, Zanjan, Iran
2 - Master student , Department of financial mathematics, Institute for Advanced Studies in Basic Sciences, Gava Zang, Zanjan, Iran
3 - Master student , Department of financial mathematics, Institute for Advanced Studies in Basic Sciences, Gava Zang, Zanjan, Iran
4 - Master student , Department of financial mathematics, Institute for Advanced Studies in Basic Sciences, Gava Zang, Zanjan, Iran

Received: 2016-10-10 Accepted : 2017-01-21 Published : 2017-06-22

Keywords: Value at risk, Composit quantlie regression, GlueVaR risk measure, Average Value at Risk,

Abstract :

Value-at-Risk and Average Value-at-Risk are two important risk measures that used to measure the market's risk with quantity structure. However, both of these risk measures have defects in measuring risk. For this reason, the new risk measure GlueVaR has been introduced in 2014. In this paper the new measure is describe and the advantaes of this mesure are explained. A method for estimating the new mesure is provided using the composite quantile regression model. Finally, the efficiency of GlueVaR will be compared with two other mentioned risk measures for log-return data from the American’s stock market and Iran’s stock market.