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arXiv · 2012.05219

Parametric measures of variability induced by risk measures

Fabio Bellini·Tolulope Fadina·Ruodu Wang·Yunran Wei
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Abstract

We present a general framework for a comparative theory of variability measures, with a particular focus on the recently introduced one-parameter families of inter-Expected Shortfall differences and inter-expectile differences, that are explored in detail and compared with the widely known and applied inter-quantile differences. From the mathematical point of view, our main result is a characterization of symmetric and comonotonic variability measures as mixtures of inter-Expected Shortfall differences, under a few additional technical conditions. Further, we study the stochastic orders induced by the pointwise comparison of inter-Expected Shortfall and inter-expectile differences, and discuss their relationship with the dilation order. From the statistical point of view, we establish asymptotic consistency and normality of the natural estimators and provide a rule of the thumb for cross-comparisons. Finally, we study the empirical behaviour of the considered classes of variability measures on the S&P 500 Index under various economic regimes, and explore the comparability of different time series according to the introduced stochastic orders.

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Fabio Bellini, Tolulope Fadina, Ruodu Wang, Yunran Wei. 2020-12-09. Parametric measures of variability induced by risk measures. https://arxiv.org/abs/2012.05219

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