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Publication :
Cornish-Fisher expansion for commercial real estate value at risk

bul.description.provenancelf spbfr
bul.rights.dateAccepPubl2014-07-05fr
bul.rights.periodeEmbargoP1Yfr
bul.rights.typeDatedatePublicationfr
dc.contributor.authorAmédée-Manesme, Charles-Olivier
dc.contributor.authorBarthélémy, Fabrice
dc.contributor.authorKeenan, Donald
dc.date.accessioned2020-03-30T16:20:25Z
dc.date.available2020-03-30T16:20:25Z
dc.date.issued2014-07-05
dc.description.abstractThe 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.doi10.1007/s11146-014-9476-xfr
dc.identifier.issn0895-5638fr
dc.identifier.urihttp://hdl.handle.net/20.500.11794/38472
dc.languageengfr
dc.publisherSpringer New York LLCfr
dc.rightshttp://purl.org/coar/access_right/c_abf2
dc.subjectValue at riskfr
dc.subjectRisk measurementfr
dc.subjectReal estate financefr
dc.subjectCornish-Fisher expansionfr
dc.subjectRisk managementfr
dc.subjectRearrangement proceduresfr
dc.subject.rvmFinances -- Gestion du risquefr
dc.subject.rvmImmobilier d'entreprisefr
dc.subject.rvmDéveloppements asymptotiquesfr
dc.titleCornish-Fisher expansion for commercial real estate value at riskfr
dc.typearticle de recherche
dc.type.legacyCOAR1_1::Texte::Périodique::Revue::Contribution à un journal::Article::Article de recherchefr
dcterms.bibliographicCitationThe Journal of Real Estate Finance and Economics, Vol. 50, 439-464 (2015)fr
dspace.accessstatus.time2024-03-23 18:02:43
dspace.entity.typePublication
relation.isAuthorOfPublicatione2b47cab-f4e3-4f70-96d7-35bd0cc3a82d
relation.isAuthorOfPublication.latestForDiscoverye2b47cab-f4e3-4f70-96d7-35bd0cc3a82d
relation.isResourceTypeOfPublication4c433ef5-3937-4530-8252-cca17d715747
relation.isResourceTypeOfPublication.latestForDiscovery4c433ef5-3937-4530-8252-cca17d715747
rioxxterms.project.funder-nameLabex MME D-II programfr
rioxxterms.project.funder-nameUniversité de Cergy-Pontoisefr
rioxxterms.versionAccepted Manuscript (AM)fr
rioxxterms.version-of-recordhttps://doi.org/10.1007/s11146-014-9476-xfr

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