Moderate Deviations for Estimators of Financial Risk Under an Asymmetric Laplace Law

We study moderate deviations of estimators of financial risk under an asymmetric Laplace law. The moderate deviation principles of two kinds of estimators of Value-at-Risk (VaR) and conditional Value-at-Risk (CVaR) are obtained by the approximation method and the delta method in large deviations. Some numerical comparisons of the estimators are also presented.