Time: 13:00-15:00 (UK Time), Wednesday, 24 November 2021
(Please kindly note that the UK Time Zone is now changed to GMT)
Presenter: Professor Abderrahim Taamouti, Durham University
Chair: Professor Victor Murinde, SOAS University of London
Online venue: Click here to join the seminar on Microsoft Teams (For any inquiry about how to join the online seminar, please contact Dr. Meng Xie: xm1@soas.ac.uk
Abstract
We propose an optimization-based estimation of Value-at-Risk that corrects for the effect of measurement errors in prices. We show that measurement errors might pose serious problems for estimating risk measures like Value-at-Risk. In particular, when the stock prices are contaminated, the existing estimators of Value-at-Risk are inconsistent and might lead to an underestimation of risk. Using Fourier transform and a deconvolution kernel estimator of the probability distribution function of true latent prices, we derive a robust estimator of Value-at-Risk in the presence of measurement errors. Monte Carlo simulations and a real data analysis illustrate satisfactory performance of the proposed method.
Presenter
Abderrahim Taamouti is Professor in Economics at Durham University. He has a PhD (2007) in Economics from University of Montreal, Canada. Before joining Durham University Business School in 2014, Abderrahim held the position of Associate Professor of Economics at Universidad Carlos III de Madrid in Spain. His fields of specialization are Econometrics and Finance. He mainly works on Granger causality analysis, hypothesis testing, nonparametric estimation and testing, asset pricing, portfolio selection, and risk management.
His research projects have resulted in several publications in internationally renowned journals in Econometrics, Finance and Statistics such as Journal of Econometrics, Review of Finance, Journal of Multivariate Analysis, Journal of Dynamics and Economic Control, Journal of Financial Econometrics, Journal of Business & Economic Statistics, Computational Statistics and Data Analysis, Journal of Empirical Finance, Journal of International Money and Finance, Statistics and Risk Modelling, Finance Research Letters, Financial Markets and Portfolio Management, etc.