{"@context":{"@language":"en","@vocab":"https://schema.org/","citeAs":"cr:citeAs","column":"cr:column","conformsTo":"dct:conformsTo","cr":"http://mlcommons.org/croissant/","rai":"http://mlcommons.org/croissant/RAI/","data":{"@id":"cr:data","@type":"@json"},"dataType":{"@id":"cr:dataType","@type":"@vocab"},"dct":"http://purl.org/dc/terms/","examples":{"@id":"cr:examples","@type":"@json"},"extract":"cr:extract","field":"cr:field","fileProperty":"cr:fileProperty","fileObject":"cr:fileObject","fileSet":"cr:fileSet","format":"cr:format","includes":"cr:includes","isLiveDataset":"cr:isLiveDataset","jsonPath":"cr:jsonPath","key":"cr:key","md5":"cr:md5","parentField":"cr:parentField","path":"cr:path","recordSet":"cr:recordSet","references":"cr:references","regex":"cr:regex","repeated":"cr:repeated","replace":"cr:replace","samplingRate":"cr:samplingRate","sc":"https://schema.org/","separator":"cr:separator","source":"cr:source","subField":"cr:subField","transform":"cr:transform","wd":"https://www.wikidata.org/wiki/"},"@type":"sc:Dataset","conformsTo":"http://mlcommons.org/croissant/1.0","name":"Replication Data for: Worst-Case Higher Moment Risk Measure: Addressing Distributional Shifts and Procyclicality","url":"https://doi.org/10.34848/IL9XHN","creator":[{"@type":"Person","givenName":"Carlos","familyName":"Castro Iragorri","affiliation":{"@type":"Organization","name":"Universidad del Rosario"},"sameAs":"https://orcid.org/0000-0003-2796-2368","@id":"https://orcid.org/0000-0003-2796-2368","identifier":"https://orcid.org/0000-0003-2796-2368","name":"Castro Iragorri, Carlos"},{"@type":"Person","givenName":"Fabio","familyName":"Gómez","affiliation":{"@type":"Organization","name":"Universidad del Rosario"},"sameAs":"https://orcid.org/0000-0001-6668-0588","@id":"https://orcid.org/0000-0001-6668-0588","identifier":"https://orcid.org/0000-0001-6668-0588","name":"Fabio Gómez"},{"@type":"Person","givenName":"Nancy","familyName":"Quiceno","affiliation":{"@type":"Organization","name":"Cámara de Riesgo Central de Contraparte"},"sameAs":"https://orcid.org/0009-0000-5194-2098","@id":"https://orcid.org/0009-0000-5194-2098","identifier":"https://orcid.org/0009-0000-5194-2098","name":"Nancy Quiceno"}],"description":"This paper addresses the inherent procyclicality in widely adopted financial risk measures, such as expected shortfall (ES). We propose an innovative approach utilizing the worst-case higher moment (HM) risk measure, which offers a robust solution to distributional shifts by incorporating adaptive features. Empirical results using historical S&P500 returns indicate that worst-case HM risk measures significantly reduce the underestimation of risk and provide more stable risk assessments throughout the financial cycle compared to traditional ES predictions. These results suggest that worst-case HM risk measures represent a viable alternative to regulatory add-ons for stress testing and procyclicality mitigation in financial risk management.","keywords":["Business and Management","Mathematical Sciences","higher moment risk","procyclicality","expected shortfall","stress testing"],"license":"http://creativecommons.org/publicdomain/zero/1.0","datePublished":"2024-05-15","dateModified":"2024-05-15","includedInDataCatalog":{"@type":"DataCatalog","name":"Universidad del Rosario","url":"https://research-data.urosario.edu.co"},"publisher":{"@type":"Organization","name":"Universidad del Rosario"},"version":"1.0","citeAs":"@data{IL9XHN_2024,author = {Castro Iragorri, Carlos and Fabio Gómez and Nancy Quiceno},publisher = {Universidad del Rosario},title = {Replication Data for: Worst-Case Higher Moment Risk Measure: Addressing Distributional Shifts and Procyclicality},year = {2024},url = {https://doi.org/10.34848/IL9XHN}}","citation":[{"@type":"CreativeWork","name":"Castro-Iragorri, Carlos and Gómez, Fabio and Quiceno, Nancy, Worst-Case Higher Moment Risk Measure: Addressing Distributional Shifts and Procyclicality (March 6, 2024). 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