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Optimizing Expected Shortfall under an ℓ1 Constraint—An Analytic Approach [PDF]
Entropy, 2021 Expected Shortfall (ES), the average loss above a high quantile, is the current financial regulatory market risk measure. Its estimation and optimization are highly unstable against sample fluctuations and become impossible above a critical ratio r=N/T ...
Gábor Papp, Imre Kondor, Fabio Caccioli
doaj +4 more sources
Dynamic Asset Allocation with Expected Shortfall via Quantum Annealing [PDF]
Entropy, 2023 Recent advances in quantum hardware offer new approaches to solve various optimization problems that can be computationally expensive when classical algorithms are employed.
Hanjing Xu +3 more
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Regression Based Expected Shortfall Backtesting [PDF]
Journal of Financial Econometrics, 2019 This paper introduces novel backtests for the risk measure Expected Shortfall (ES) following the testing idea of Mincer and Zarnowitz (1969). Estimating a regression framework for the ES stand-alone is infeasible, and thus, our tests are based on a joint
Bayer, Sebastian, Dimitriadis, Timo
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Expected Shortfall and Beyond [PDF]
Journal of Banking & Finance, 2002 Financial institutions have to allocate so-called "economic capital" in order to guarantee solvency to their clients and counter parties. Mathematically speaking, any methodology of allocating capital is a "risk measure", i.e.
Tasche, Dirk
core +5 more sources
Managing Meteorological Risk through Expected Shortfall [PDF]
Risks, 2020 This paper focuses on weather derivatives as efficient risk management instruments and proposes a more advanced approach for their pricing. An “hybrid” contract is introduced, combining insurance properties, specifically tailored for the region under ...
Silvana Stefani +3 more
doaj +3 more sources
Implementation of a Commitment Machine for an Adaptive and Robust Expected Shortfall Estimation [PDF]
Frontiers in Artificial Intelligence, 2021 This study proposes a metaheuristic for the selection of models among different Expected Shortfall (ES) estimation methods. The proposed approach, denominated “Commitment Machine” (CM), has a strong focus on assets cross-correlation and allows to measure
Marco Bagnato +3 more
doaj +2 more sources
Backtesting Expected Shortfall: a simple recipe? [PDF]
Journal of Risk, 2018 We propose a new backtesting framework for Expected Shortfall that could be used by the regulator. Instead of looking at the estimated capital reserve and the realised cash-flow separately, one could bind them into the secured position, for which risk ...
Moldenhauer, Felix, Pitera, Marcin
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On the coherence of Expected Shortfall [PDF]
Journal of Banking & Finance, 2001 Expected Shortfall (ES) in several variants has been proposed as remedy for the defi-ciencies of Value-at-Risk (VaR) which in general is not a coherent risk measure. In fact, most definitions of ES lead to the same results when applied to continuous loss
Acerbi, Carlo, Tasche, Dirk
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Conditional marginal expected shortfall [PDF]
Extremes, 2021 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Y. Goegebeur +3 more
semanticscholar +3 more sources
High-Dimensional Expected Shortfall Regression [PDF]
Journal of the American Statistical Association, 2023 Expected shortfall is defined as the average over the tail below (or above) a certain quantile of a probability distribution. Expected shortfall regression provides powerful tools for learning the relationship between a response variable and a set of ...
Shushu Zhang +3 more
semanticscholar +3 more sources