Finance and Financial Management Commons^™

Do Nonparametric Measures Of Extreme Equity Risk Change The Parametric Ordinal Ranking? Evidence From Asia, Robert J. Powell, Duc H. Vo., Thach N. Pham

Research outputs 2014 to 2021

There has been much discussion in the literature about how central measures of equity risk such as standard deviation fail to account for extreme tail risk of equities. Similarly, parametric measures of value at risk (VaR) may also fail to account for extreme risk as they assume a normal distribution which is often not the case in practice. Nonparametric measures of extreme risk such as nonparametric VaR and conditional value at risk (CVaR) have often been found to overcome this problem by measuring actual tail risk without applying any predetermined assumptions. However, this article argues that it is not just …