Publication : Cornish-Fisher expansion for commercial real estate value at risk
bul.description.provenance | lf spb | fr |
bul.rights.dateAccepPubl | 2014-07-05 | fr |
bul.rights.periodeEmbargo | P1Y | fr |
bul.rights.typeDate | datePublication | fr |
dc.contributor.author | Amédée-Manesme, Charles-Olivier | |
dc.contributor.author | Barthélémy, Fabrice | |
dc.contributor.author | Keenan, Donald | |
dc.date.accessioned | 2020-03-30T16:20:25Z | |
dc.date.available | 2020-03-30T16:20:25Z | |
dc.date.issued | 2014-07-05 | |
dc.description.abstract | The computation of Value at Risk has traditionally been a troublesome issue in commercial real estate. Difficulties mainly arise from the lack of appropriate data, the non-normality of returns, and the inapplicability of many of the traditional methodologies. As a result, calculation of this risk measure has rarely been done in the real estate field. However, following a spate of new regulations such as Basel II, Basel III, NAIC and Solvency II, financial institutions have increasingly been required to estimate and control their exposure to market risk. As a result, financial institutions now commonly use “internal” Value at Risk (V a R) models in order to assess their market risk exposure. The purpose of this paper is to estimate distribution functions of real estate V a R while taking into account non-normality in the distribution of returns. This is accomplished by the combination of the Cornish-Fisher expansion with a certain rearrangement procedure. We demonstrate that this combination allows superior estimation, and thus a better V a R estimate, than has previously been obtainable. We also show how the use of a rearrangement procedure solves well-known issues arising from the monotonicity assumption required for the Cornish-Fisher expansion to be applicable, a difficulty which has previously limited the useful of this expansion technique. Thus, practitioners can find a methodology here to quickly assess Value at Risk without suffering loss of relevancy due to any non-normality in their actual return distribution. The originality of this paper lies in our particular combination of Cornish-Fisher expansions and the rearrangement procedure. | fr |
dc.identifier.doi | 10.1007/s11146-014-9476-x | fr |
dc.identifier.issn | 0895-5638 | fr |
dc.identifier.uri | http://hdl.handle.net/20.500.11794/38472 | |
dc.language | eng | fr |
dc.publisher | Springer New York LLC | fr |
dc.rights | http://purl.org/coar/access_right/c_abf2 | |
dc.subject | Value at risk | fr |
dc.subject | Risk measurement | fr |
dc.subject | Real estate finance | fr |
dc.subject | Cornish-Fisher expansion | fr |
dc.subject | Risk management | fr |
dc.subject | Rearrangement procedures | fr |
dc.subject.rvm | Finances -- Gestion du risque | fr |
dc.subject.rvm | Immobilier d'entreprise | fr |
dc.subject.rvm | Développements asymptotiques | fr |
dc.title | Cornish-Fisher expansion for commercial real estate value at risk | fr |
dc.type | article de recherche | |
dc.type.legacy | COAR1_1::Texte::Périodique::Revue::Contribution à un journal::Article::Article de recherche | fr |
dcterms.bibliographicCitation | The Journal of Real Estate Finance and Economics, Vol. 50, 439-464 (2015) | fr |
dspace.accessstatus.time | 2024-03-23 18:02:43 | |
dspace.entity.type | Publication | |
relation.isAuthorOfPublication | e2b47cab-f4e3-4f70-96d7-35bd0cc3a82d | |
relation.isAuthorOfPublication.latestForDiscovery | e2b47cab-f4e3-4f70-96d7-35bd0cc3a82d | |
relation.isResourceTypeOfPublication | 4c433ef5-3937-4530-8252-cca17d715747 | |
relation.isResourceTypeOfPublication.latestForDiscovery | 4c433ef5-3937-4530-8252-cca17d715747 | |
rioxxterms.project.funder-name | Labex MME D-II program | fr |
rioxxterms.project.funder-name | Université de Cergy-Pontoise | fr |
rioxxterms.version | Accepted Manuscript (AM) | fr |
rioxxterms.version-of-record | https://doi.org/10.1007/s11146-014-9476-x | fr |
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