Estimation risk in financial risk management: a correction

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. [PUBLICATION ABSTRACT]