How Sensitive are Tail-related Risk Measures in a Contamination Neighbourhood?

Estimation or mis-specication errors in the portfolio return distribution can have a considerable impact on risk measures. This paper investigates the sensitivity of tail-related risk measures including the Value-at-Risk, expected shortfall and the expectile-quantile transformation level in an epsilon-contamination neighbourhood. The findings give
the different approximations according to the tail heaviness of the contamination models and its contamination levels. Illustrating examples and an
empirical study on the Royalton CRIX capturing and displaying the market
movements are given. The codes used to obtain the results in this paper are
available via QuantLet/SRMC.