Estimation risk in financial risk management: a correction

Daniel Giamouridis

Abstract

ABSTRACT

Christoffersen and Goncalves (2005) study the effect of parameter estimation error in computing value-at-risk and expected shortfall through commonly used methods including the Cornish–Fisher and Gram–Charlier approximations approach. We provide a correction to the expression used for the computation of the expected shortfall under the Cornish–Fisher and Gram– Charlier approximations and illustrate the effect of the error found in assessing the accuracy of expected shortfall point forecasts.