The parametrs of the complex quantile risk measures in the forming of portfolios of the securities

Abstract

The complex measures of financial risks based on quantile measures of VaR, CVaR and their analogs for the right tails of distribution of profitabilities of financial instruments are considered in the article. The two-stage optimizing procedure is used for an assessment of efficiency of the offered measures when forming sequences of securities portfolios. Previously, the research was conducted for the Russian securities market. In this paper we present results of computational experiments for Russian and U.S. securities markets, and examine the impact of risk measures parameters on the formation of a sequence of securities portfolios.