This is the program for the 2010 Joint Statistical Meetings in Vancouver, British Columbia.

Abstract Details

Activity Number: 423
Type: Contributed
Date/Time: Tuesday, August 3, 2010 : 2:00 PM to 3:50 PM
Sponsor: Business and Economic Statistics Section
Abstract - #307095
Title: Risky Business: The 'Failures' of Risk Management
Author(s): Christine Wu*+ and John Ryland Pigg
Companies: North Carolina State University and North Carolina State University
Address: Department of Statistics, Raleigh, NC, 27695-8203,
Keywords: Value at Risk ; Expected Shortfall ; Risk Measurement ; Monte Carlo ; GARCH

The events in the stock markets have brought Taleb's "Black Swan Theory" to the forefront. His theory argues that the possibility or importance of rare events should not be ignored. Because of the recent economic chaos, we decided to consider risk management techniques used by companies to prepare for potential losses. While looking at the risk measures involved with portfolio managing, the project aims to determine whether the VaR is a good measure of risk or if Expected Shortfall is a better measure of risk. Stock prices were used to compile different portfolios for analysis. Using the GARCH model and Monte Carlo simulations, a VaR and an Expected Shortfall were calculated for the stock portfolios. We will test our hypothesis concerning types of distributions used with assessing risk management and further evaluate the impacts of VaR versus Expected Shortfall calculations.

The address information is for the authors that have a + after their name.
Authors who are presenting talks have a * after their name.

Back to the full JSM 2010 program

2010 JSM Online Program Home

For information, contact or phone (888) 231-3473.

If you have questions about the Continuing Education program, please contact the Education Department.