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SPEPS Preprint

Author(s): Jitka Dupacová, Charles University Prague
Jan Polivka, Charles University Prague
Title: Stress Testing for VaR an CVaR
Date of Acceptance: 12.01.2005
Submission Date: 06.12.2004
Series Title: Stochastic Programming E-Print Series
(SPEPS)
Editors: Julie L. Higle; Werner Römisch; Surrajeet Sen
Complete Preprint: pdf (urn:nbn:de:kobv:11-10046365)
Keywords (eng): Scenario-based stochastic programs, validation of results, stress testing, contamination bounds, VaR, CVaR
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Abstract (eng):
Practical use of the contamination technique in stress testing for risk measures Value at Risk (VaR) and Conditional Value at Risk (CVaR) and for optimization problems with these risk criteria is discussed. Whereas for CVaR its application is straightforward, the presence of the simple chance constraint in the definition of VaR requires that various distributional and structural properties are fulfilled, namely, for the unperturbed problem. These requirements rule out direct applications of the contamination technique in the case of discrete distributions, which includes the empirical VaR. On the other hand, in the case of a normal distribution and parametric VaR one may exploit stability results valid for quadratic programs.
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