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Marcelo Brutti Righi and Paulo Sergio Ceretta
''On the existence of an optimal estimation window for risk measures''
( 2016, Vol. 36 No.1 )
We investigate whether there can exist an optimal estimation window for financial risk measures. Accordingly, we propose a procedure that achieves optimal estimation window by minimizing estimation bias. Using results from a Monte Carlo simulation for Value at Risk and Expected Shortfall in distinct scenarios, we conclude that the optimal length for the estimation window is not random but has very clear patterns. Our findings can contribute to the literature, as studies have typically neglected the estimation window choice or relied on arbitrary choices.
JEL: C6 - Mathematical Methods and Programming: General
Manuscript Received : Sep 12 2015 Manuscript Accepted : Jan 26 2016

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